A gobo is a filter placed over a Spot light to project light patterns through fog on a surface. The Gobo folder in the Asset browser has gobos that you can attach to lights in your scene.

Spotlight A. Without Gobo B. With Gobo C. With projected image

You can also use an image file as a gobo, which cause the light to project an image, much like a projector. You can use an .avi, .bmp, .tiff, .jpg, .memory, .pic or .qtmot file.

Not all the gobos are installed by default when you install MotionBuilder. Additional gobos are available on the MotionBuilder Clip Art DVD and can be installed separately.