This means that your media files (video, audio, etc) have been moved or removed from your computer.
When you add media to your project, a link is created between your media file and the project. Your media files must be on your computer's hard drive and available while you are editing in order to complete your project.
If you linked to video that was, say, on your camcorder and then disconnected your camcorder, you've broken the link. This is also true if you linked to video or audio files on an external drive and you disconnected the hard drive.
It's also possible, depending on the version of Windows you're using, that you disconnected your external drive or rebooted and Windows assigned a different driver letter to the drive -- which also breaks the link to your media.
Which of these situations do you think describes your situation?
Renaming the file in the original folder will also cause this message. I changed one from "DSC3409" to "AJ's 540 octo" and APE could no longer find it.