Try checking your disk allocation. The session file alone contains no audio.
If you need an immediate solution, open the session, make sure it plays back as expected. Then select "save copy in" under the file menu. Name the session, and make sure "all audio files" is selected.
When you save the session like this, it will create a new copy with a new folder containing all of your audio. You could then back the session up to a DVD.
Mike
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