Generally, the location written in a catalogue is the location of the media used to 'download' the images to your computer, mainly photo cards or thumb sticks if you have chosen to 'import from files or folders' instead of 'from camera or card reader'. In such a case, 'M' could have been the letter assigned to a card reader or a thumb stick. You need to have the same device plugged in your computer with the same drive letter. It could be an import from an external USB drive or a NAS.
Can you search and check by file name if the missing (disconnected) files are really present on your C drive?