Players are not a file format, but actually a Directory of files.
Players live on the LC: device, and are implemented as [Player_Name,PLAYER] directories for each player. The directory must contain a PLAYER.CHR file. Each object that a player owns is saved locally in the player's directory. This is to allow for certain customizations that may not apply to weapons in the wild. All worn or wielded equipment is listed as such in the player's character file.
Mail sent to a player is stored in the [Player_Name,MAIL] directory that exists for each player. For more info on that, see the Mail article. Players can have personal notes which are kept in the player's directory.