There is only one file type that uses the .JRZ extension:
PSP Game Data File
Data file used by games for the PlayStation Portable (PSP), such as XSEED Games' Half-Minute Hero game; contains references to .VAG audio files; may also contain other game data; used for storing in-game content.
JRZ files can sometimes be found inside .CSO files, which are archives for the PSP. Since CSO files can be converted to .ISO disk images, you can extract the JRZ file after mounting the ISO file using a disk image utility.
Updated: June 10, 2010