Thanks Mo, I believe my problem is that I was opening the project from my external drive which was still attached to the MacBook Pro where the project originally resides.
I deleted the project from the MacBook Pro then opened it from the external drive, and upon opening Premiere Pro informed me that the files were missing. All I had to do was relocate one file and Premiere Pro found the remaining files.
So, I am guessing that forgetting that I deleted the project from the MacBook Pro and simply copying it from the external HD to my iMac that upon opening the project I would get the same missing files message.
If you need to move ALL files including cache files etc use this method between machines.
It is very reliable
Go to File->Project Manager
You will see an option thats says Collect Files and copy to new location. Next to this you will see :
a) Include Audio Conform Files
b) Include Preview Files
Best of luck
Thanks Mo, the problem with that option though is that the folder structure will is not maintained, so all files end up in a single folder.
Nick next project maybe change the workflow and concentrate a little on initial project management to avoid issues