Allegro PCB Design Tutorial
Before you can place components in Allegro PCB you should set the libraries correctly
You should consult your PCB librarian system administrator if they follow any particular directory structure and file name system to create and store pads and PCB footprints.
You can set pad and psm library path using Setup -> User Preferences -> Path Library -> padpath for pads
and
Setup -> User Preferences -> Path Library -> psmpath for footprint.
You can also specify more that one path for libraries. Allegro will search for PADS / Footprint in the order of the paths where libraries are specified. Allegro also allows to you change the order of the libraries.
This youtube captures the whole sequence.