a) no, you don’t need to be connected
b) did you get to a file (folder) select box after “Get local HD files”?
c) if so, are you sure that you selected the directory of the Performer folder related to the Cubase project you loaded?
d) nothing gets corrupted in your Cubase project. You may want to make a backup (copy) of that project beforehand just in case.
The designated procedure is: load the Cubase project related to the HD files you downloaded. Activate “Get local HD files” and point to the directory of the Performer files. If successful, save the Cubase project and you’re done. The procedure copies Performer audio files to the Cubase directory of the project in question and adjusts it in the Cubase project. If anything goes wrong during that procedure, the Cubase project is not affected (it may do an autosave in between which gives you an additional backup). If all is good, you can delete the downloaded Performer folder.
If all else fails, you may send the performer project to me to look at (without the audio files of course). The performer project is located in the folder that you transfered and labeled “performerProjectXXX.xml” wher XXX is a large number.