When drag-and-dropping external audio files into Cubase, ensure the option for adding the file to the project is checked, ensuring the files are COPIED into the Audio folder.
Also, see About missing files on page 384 of the Operation Manual.
You need the entire folder, which should contain:
a) .cpr project file, which contains project-specific settings, MIDI, and references to each audio file
b) Audio folder = where ALL the audio should be
c) Edits folder = unsaved offline edits (like Normalise, Pitch Shift) = additional to Audio files = MUST keep if NOT empty
d) Images folder = waveform display files = if absent, Cubase will create them all upon project opening
e) Freeze folder = frozen tracks = MUST keep if NOT empty.
Ensure only one project per project folder, otherwise you might accidently delete files when using the cleanup tools. If this has been done, for each project file, use Cubase’s Backup to create a new and separate unique project folder.
+1 to learning about The Pool on page 376 of the Operation Manual, as it is the place where you can really manage your project’s files for renaming, etc.