I believe the issue here is that you have links to those files but, as you say, you don’t have those files in your project. The links have been created by pointing to files on the drive but not in your project files.
Search in your project for the file names and check the path in the source to those files. Don’t search on the whole broken link shown in your attachment; the path in the source code is relative rather than absolute as shown.
My site www.grainge.org includes many free Authoring and RoboHelp resources that may be of help.
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