Rach is correct.
If the pics are still on your computer but have just been moved you can
right click on one of the X's and select the search option. In most cases
after doing this with one or two of the missing files it will find them all
since they generally would have been moved together. All of this is assuming
they weren't deleted or aren't residing on a CD. Saving a project only saves
the info like the location of the files but not the files themselves. If
they are no longer where they were then this is the result.
You gather correctly. All your source files should stay in place until you
render the movie. I suppose you could move them around but then you would
have to reimport them that would be a pain. Once you are finished, you can
delete them. That's one reason to have a large had when you are editing
video.