This is an important best practice – never, ever modify plugin files directly.
Rule 1: there is never a good reason to do this.
Rule 2: refer to rule 1.
When you modify a plugin’s core files, not only will your changes be overwritten when you update the plugin, you also run the risk of breaking the plugin and possibly your WordPress installation. In addition, it makes it impossible for the plugin developer to provide support for you since they have no knowledge of what you’ve changed.
Unless it is a patch for an issue with the plugin, nothing on this site will EVER direct you to modify the plugin files directly. So don’t do it.
How can I customize?
Note that the WP-Members plugin is full of action and filter hooks that allow you to build proper customizations for your deployment. This is the same way that WordPress itself allows you to modify the behavior of WP without touching the core of WP itself. There are also API functions that can be used.
In the case of WP-Members, most of this information is not only included in the documentation but is also documented “inline” in the plugin. Often, if you are going through a plugin’s files seeking to make a change to something, the documented filter hook will be right there in front of you. Learn to recognize this so you can make custom changes the right way. The whole point of inline documentation is so that you can see where a value is derived from and how you can change it if it’s a filter, or use it if it’s an action.
Where should customizations go?
Using a plugin’s available action/filter hooks and/or API functions allows you to store your customizations outside the plugin.
A common (and good) alternative is to create a plugin file to store your custom functions. The advantage is this makes it independent of your theme, should you ever change themes.
Also see: How to use action and filter hooks.