Well, Beat's right but...you need to make sure the catalog name and the Previews file are named the same EXACTLY...you can NOT have the catalog name and the preview data named differently...and both files need to be in the same enclosing folder name. So like this:
Folder name: LR4
Previews: LR4 Previews.lrdata
So the 'LR4' part can be anything as long as it matches exactly.