What file were you trying to open in the folder?
In order to open the session up, you need to open the .cpr file. The folder that the .cpr file is in should have the audio folder, an images folder and maybe a couple other folders that have all the files for the session. If you moved the .cpr file away from where it was to begin with, or moved all the subfolders that contained the actual audio and midi info, the session won't open correctly.
When you hit 'save' in cubase, all you are doing is saving the session information. All of the audio, video and other files are in different folders. So if you move anything away from where the session is looking for it, the session won't open correctly.
What you should do when you create a session for a song is:
1. create a folder with the song name.
2. open cubase and create a new session. When it asks where to create the session, point it to the folder you just created.
3. make music.
If you want to move the song to a different hard drive, back it up or move it anywhere, you will need to move the entire folder with the song name that you created for that session. That will contain everything necessary for that song.