.prproj project will not open in Adobe Premiere Pro CS4

When I try to open .prproj file, I get the message "Where is the File <name of file>.mpeg?

1) I have tried manually finding the .mpeg file and double-clicking on it. This displays the error: "File Import Failure 'Unsupported format or damaged file.'"

2) I have also tried selecting the "Skip" and "Skip All" buttons. In this case, Adobe Premiere .prproj opens but none of videos appear. Instead there is a red screen saying "Media Offline"

What is causing these issues? Why am not able to select the unfindable files and, more importantly, why can I not open the .prproj project. ANy insight would be greatly appreciated!

ThankS