Missing Files Screen

[Mistermac]

When I attempt to bring up a song from my folder, the files DAE starts moving rapidly but all of a sudden stops. Then a screen appears that shows at the top left hand corner something like File 4_02 missing. Then it shows a bunch of files with these numbered names on them. I don't know what to do. Did I delete that file by accident or what? I don't see anything in my book on Pro Tools 5.3.1 that shows this screen or tells me what to do. I can't get the song to come up because of this lost file.
While I'm at it, I need to know what I have to do to upgrade to 6.1 I have the disk, but am I going to experience any problems if I install it over my current 5.3.1? I also have the 6.0 disk, but do I have to install that before the 6.1? I don't want to install the 6.1 on my computer and then have no idea of what to expect. Please advise me!
If you have any suggestion as to what I should do, please let me know.

[Bazzle]

Look in the Audio file folder of the session in question and see if you can spot the files.
One tip, always name everything you record from the beginning of the session.That way instead of having to search for a bunch of files called Audio 01xxx etc. you can search for Guitar01/Vox01 etc.
As for the installation of 6.1.1. I suggest you uninstall 5.3.1 first, then install 6.1, then download the upgrade to 6.1.1 and install that over 6.1