When you're saving an IDML file (the choice to save to CS4 or later creates IDML), it just contains the InDesign file and doesn't include the linked graphics. You need to go to the Links panel, and link to the graphics.
If necessary, return to original file and choose File > Package to package the graphics and fonts along with the InDesign file.
Saving as IDML does not preserve thumbnails. You'll need to relink all
of your images.
Easiest way is to put the IDML file in the same folder as the images
which will force ID to look there.