The easiest way to do it is to click on the header on the Used column (the one with the green check marks) on your Project panel. This will arrange your clips so that all of the used (green check marked) clips are together.
Then you can hold down the Shift key, select all of the other clips, right-click and select Clear.
I skip them all when I load my project because I don't want to use them. I want to be able to avoid the project trying to load them every time I open my project.
Steve's answer will solve your problem. You need to delete the corresponding items from the Project panel. Removing the items from the Organizer won't solve the problem.
If I don't load something into my project then how can I remove it from the project?
Is the only option to keep skipping the media that PE9 wants to load every time I start my project?