All of the files you need for the project must be saved inside the project folder.
When creating new projects in Abobe Premiere, you need to save your files that will be used in those projects inside one place, one folder. Saving files into this one place (so that when Premiere needs to find these files it can do so) is called Document Relative.
When you begin a project, create a folder inside your folder on the digital photo server, and save all relevant files there before you even open Premiere, and you will be all good!
Now don’t get confused here- saving files by dragging and dropping (or copying and pasting) is NOT the same as importing them into you project once you are working in Adobe Premiere. If you are already working inside Premeire, and you import all the files you want to use to work, you still will not have the reqirements for Document Relative!
Twenty-First Century Art and Design 