I believe you can also click on a button called “Locate Files”. If I recall this will open a window that allows you to point to where the audio files are (probably just in the audio folder for the project) and Cubase will find them and sort everything out. Once you’ve done this, and then re-save the project, the next time you open it it’ll open normally.
I often just copy a project folder from one drive to another for backup purposes. When I do this, and then open the project from the backup drive, Cubase post’s this message. Thats when I just tell it to locate the files, point it to the audio folder for the project (on the backup drive) and everything gets sorted out.
Hope this helps.