iTunes is basically telling you that it thought a file was in one place, and now it's deleted or moved. This article has some information on how to find it: http://support.apple.com/kb/TS1408.
If it's purchased media, it's even easier to get it back. Just go to the iTunes Store, look in the Quick Links sidebar section or Features footer, click "Purchased", and you can re-download most of your music for free.
If you have iTunes Match ($25 annually), then it should have your full library in iCloud, so downloading would be a snap!