Same thing happened to me (I think). I just started using Sonar, so I don't have a bunch of projects, but I've got 7 songs I've recorded so far, all pertaining to one band. I tried to keep things organized by creating a folder named for the band, then moved everything to that folder.
When I opened a project in Sonar, I got some sort of message sayign that my audio files were gone and asking would I like to search for them. In a panic I answered 'yes', but the search yielded nothing! Now I started freaking out, thinking of all the work I had put into those 7 songs/projects. I went back to my folders and put everything back the way they were before I got 'organized' and thank heavens everything seems to be working fine now.
I learned my lesson - leave well enough alone!