If this file was used in an existing Project, PE is not finding it, because it's now on the external. If it WAS on the external to begin with, then the drive letter of that external has changed, since it was last plugged in.
For the former, locate the file in Project Panel. Rt-click on it and choose to re-Link. That will locate it for this session of PE, but see below of details on what else you might have to do later.
If the latter, then you can go into your OS in Disc Management and set the drive letter assignation for that external, so that it always comes up the same. If you move the drive between machines, you'll need to do it in the OS for each machine.
Now, if you have NOT done a Save of that Project with the media offline, just Exit, and do not Save. Re Open that Project and you *should* get a message about PE not being able to find the Asset. Navigate to the external, and locate the file. Should be re-Linked and good to go. See above for tips on getting the same drive letter for each Windows session.
In addition, I often edit to/from externals on my laptop and my workstation. The setting of the drive letter is used in the OS of each machine.
I also am using copies of my Assets (originals stored elsewhere) and I keep these organized under the [Project Name] root folder, with sub-folders for "Video," "Music," "Stills," etc. The nice thing about doing it this way is that PE/PrPro is pretty smart, when it cannot find an Asset. When the "Can't Find... " screen pops up, you only have to navigate to the appropriate sub-folder and find the first file. Premeire will then locate all other Assets in that folder.
If the Assets are scattered about, then one may have to navigate to the location of each to get them all re-Linked. Good Project setup and housekeeping can go a very long way toward a rewarding editing experience.
I inherited an existing Project, where 2000+ Assets were scattered all over an external. Many had the same exact file names too, but were in different folders (many not sub-folders of the Asset-type)! I had to play the "approval" DVD's (there were 4 @ 2 hrs. each) on one machine, while I re-Linked each Asset by hand. This took most of two full days. Proper prior planning goes a very long way to keeping things straight and making life so much easier.