The images are not embedded by default so unless you did it
intentionally they aren't there.
You'll need to go back to CS5.5 on your Windows machine and use the file
package command and then move the entire package over. Better yet, if
you need access by both machines work in a dropbox folder.
So what I should have done on my PC for all my files is gone to the File menu and used the Package command which would have converted it into a file with the images in it so they wouldn't need to be relinked.
From now on I will only be working on Mac (I gave away my PC) but I'm sure I could use a friend's pc (or at a later point install Windows on my Mac). But to use the Package command on PC I need to actually have the images in the correct folder on the PC right?
No. It would have packaged all of the links into a folder and created a
master folder to hold the links, the InDesign file and, if you chose,
One option is to put all the images in a folder on the Mac and individually relink them.
If you've actually got them all in one folder you can use the Relink to Folder command in the Links panel menu.
Thanks Peter, that worked!