Hi and welcome to the forums.
First of all, which version of Pro Tools are you using?
Second, check to see that you have the option to automatically copy files on import selected.
You can also read through the
Pro Tools Reference Guide for help with importing audio files. See Chapter 21 for information.
If that doesn't help, give us a little more information about how you are importing these files, like from where, to where and we will have a better shot at helping you out.