My recommendation would be to NOT use it next time. Do your project management with a proper file manager outside of Premiere Pro, and before you import.
What Jim said.
When you want to save all the source files, there was nefver much of an advantage to Project Manager, unless your source files were poorly organized to begin with.
With gop type files, the advantages for keeping only the portions of source files that were used were reduced further. (Project manager kept the whole file whether only part was used or not.)
Are you sure that your files are gone? Opening the original file ("when i removed all the other files, and loaded the project,") rather than the the NEW project file that is in the new directory, will not work.
So this function is in fact not in Cs5? I was sure it coudl do this.. is there no way I can save a project and ALL associated clips and files and stuff and trium out all the unused ones.. into a new folder.. with everything in it?
Did the Project Manager create a new project in the same location as the collected files? If so, open that project and let us know the results.