A lot depends on a lot of things, NOKNOT. It could be related to the type of camcorder your video is coming from or how you have your Premiere Elements project set up.
But this usually indicates a lack of hardware or hard drive space or a poorly tuned computer. How much free, freshly defragged space is on your C drive? Are you using a second hard drive? Is it formatted NTFS or FAT32 (as they come from the factory) and how much free, defragmented space is on it?
What operating system are you running? If it's a Windows machine, have you manually gone to Windows Update and ensure you've got even the non-critical updates? Have you got the latest version of Quicktime?
When was the last time you ran Advanced System Care on on your system? You might be surprised how much a good cleaning and tuning can do.
Thanks for the reply Steve. Right before I downloaded files from camcorder I ran Diskeeper, Ccleaner, and Glary Utilities. Everytime I finish a project I always clean the computer. I am running Windows XP SP3 with all updates. Camcorder is Panasonic PV-GS320. I have 167 free gigbytes. I have Ulead VideoStudio 11, so I rendered the last file with Ulead, saved it to a folder and then opened it in Premiere. But I would like to know why I have this problem with the last file everytime.
Where are the Scratch Disks for that Project (including the Media Cache folders) stored?
Loosing the link to PEK, or CFA (Conformed Audio) files is often an issue with external, or networked HDD's. Do you have any externals, or networked HDD's in your system, that are used for this Project?
For some background on Conforming, and PEK generation, see this ARTICLE.