Have you moved the files using Finder???
The message means the files are not where they were when you imported them into Lightroom.
Keep in mind importing does not actually bring images into Lightroom it imports/links the location of the image on disk into Lightroom, the image file stays where you have put it.
Geoff is correct, I would add that its probably not a good idea to move photos or folders using your operating system once they have been imported into Lightroom. You would be better off developing a workflow that does not require photos or folders to be moved.
To fix the problem, see http://www.computer-darkroom.com/lr2_find_folder/find-folder.htm