The files you need are probably already on your computer and Cubase just doesn’t know it. I wrote a post about how to fix it a couple years back. (It must be a pretty common issue because that article gets almost 300 hits a month.)
EDIT: Also, the VSTSOUND files are archives; they contain other files. Even though you’re seeing complaints about individual samples, the WAVs it’s looking for are inside the VSTSOUNDS.