Hi Nicole,
Premiere Pro doesn’t store video, audio, or still image files in the project file—it stores only a reference to each of these files, a clip, which is based on the filename and location of the file at the time you imported it. If you later move, rename, or delete a source file, Premiere Pro can’t find it automatically the next time you open the project. In this case, Premiere Pro displays the Where Is The File dialog box.