File Questions

Thanks for all of your help in my other thread.  Invaluable advice as always on this forum!  So, basically, here's what I would like to do:
 
I have Sonar Home Studio 6XL.  My keyboard player has the latest version of Music Creator (5?).  We'd like to send each other files back and forth.  How would we do that? 
 
I tried to do it tonight and the file opened on his computer, but it said the audio was missing.  So, how do I send the project WITH the audio?  This is kind of confusing to me, so any advice would be great.  I think what I'm specifically confused about is where to save audio files and how to "link" it to the project so that, when my keyboard player opens it on his computer, the audio opens WITH the project.  I would assume that he doesn't have to import every single WAV file.... but rather that when he opens it, the project will open with the audio already there.....

actually, not "bun" but "cwb" - they used to be "bun" in the old MC Pro days, but changed around MC3 or 4 to cwb (cakewalk bundle).