normally you have to relink the file. it can do it automatically or manually. try not to move files about oo much or it will cry.
and when you've finished a session and made your edits final. ALWAYS...
1) consolidate
2) Delete unused playlists
3) clear the region list. of unused regions ESPECIALLY auto created regions
4) Save session copy in ...elsewhere n the harddrive.
Then if you're feeling brave delete the old version or backup to dvd or whatever
the session will run much smoother for mixing after doing this as your ram is taking so much of a beating, that and all the files will be together, and if someone else is going to mix it, it'll be nice and tidy.