Studio One is looking for the original files that you used in the session. It refers to the location in which you pulled them from and if this was a data CD and it is not present; it will not be able to see the files. This also applies to using external HD's as well as flash drives. DAWs in general, do not save all this audio data. They only save the session with references to the source element audio files being used. When an external HD, Flash drive or Data CD was used and you go back to the session without these connected and or in use; you will always have these issues... no matter what DAW you choose to record with.
You best options are to :
1) put the backup CD back into your computer and open the session one more time. This time, once the session is back up fully, go ahead and " Save to New Folder ". This type of saving, will collect all the elements that were being used in the session into a folder on your computer and it will resolve your issue.
2) recreate the session using the files on your external HD and make sure that you always have that external HD connected when working in that session.
3) you can point S1 to the corresponding files you saved to the external HD and once located, the session will operate as it was originally.