When Premiere (PrE, or PrPro) asks, "Where is file ____ ?" when loading a Project, it is because the program cannot follow the link to that file, that was created in the PREL, or PRPROJ (Project) file. Those links are absolute Paths, so must be 100% correct. See this ARTICLE for more background on Project files, and what they contain.
If one had the files in a folder, and Renamed that folder, Moved it, or Renamed, or Moved the file, the link will be broken, and Premiere cannot access it. If the file was on a networked drive, that is not hooked up, or mapped, or was on an external HDD, that is not plugged-in, or has had its drive letter reasigned by the OS, the link is broken. See this ARTICLE on working with external HDD's.
When Premiere encounters a link, that is broken, it will display the dialog screen, asking "Where is file _____ ?" It will also display a navigation screen, with a Finder/Search function, to help navigate to the new file, or the new location for that file. Once one has located that missing file, Premiere will search that folder, to see if there are any additional files in it, and will automatically re-link to those, as well. Now, if one has Assets in several folders (something that I commonly do), Premiere will ask again, for the next broken link. One will then need to navigate to THAT folder, select the first file with the broken link, and Premiere will search that folder. This operation might need to be repeated for each folder, containiing the Assets for that Project, but one should only have to do it, for the first file in that folder, and Premiere should re-link to all Assets in that particular folder.
I hope that this explains what is happening, why it is happening, and how to fix the problem.