Did you move your media files?
Are they on an external drive?
Welcome to the forum.
Along with the answer to PeruBob's question, this Tips & Tricks article might be useful: http://forums.adobe.com/message/3561281#3561281
There are some other useful links, to other articles, in that one. I would suggest following those too.
Details, especially version of Premiere Elements, computer operating system, and etc are important.
Pending more information, you probably moved or deleted the source media that went into your project after you saved closed the project.
Another explanation is that you stored the project media on an external hard drive and, after you saved closed the project, something happened to the external hard drive (one example, drive letter changed).
Please check out the merits of the Project Archiver found under File Menu/Project Archiver with its Archiver and Copy options.