Some of the MIDI projects I open are generating a prompt with this statement:

C:\Cakewalk Projects\Gig MIDIs\Audio does not exist.
Would you like to create it?

I can click 'No', and the project opens for me, but this is very inconvenient when I'm loading the next song during a public performance.
 
Any idea why this happens - not for all MIDIs, just some of them - and how to stop it from happening?  I don't need an Audio folder in that location.

Projects asking for an audio folder were initialy created with the option to use a per project folder for the audio data. When you enter a project name in the "new project" dialog, it automatically creates a project folder and an audio folder for the project. If you enter no project name, the project uses the global audio folder.
 
There was an option whether to store audio files in the global or in a per project folder, but I think this has been removed when the start screen was introduced. So, I have no idea how you can change this other than creating the Audio folder.

Thanks, ralf.  Yes, I created an Audio folder.  Interesting that now when the project opens there is a flicker as if SONAR minimizes for a fraction of a second (my desktop briefly appears) before loading it.  But that doesn't happen with projects that don't ask for an Audio folder.  Strange, but at least that prompt is gone now.