Open the original Cubase 4 files in Cubase 5. Don't save as! Then 'Backup' Project to a new folder. This will make sure the new files are all in place separately from Cubase 4 project and will not have the 'missing files' issue.
I believe your files will be changed to Cubase 5 files if you save from Cubase 5 in the same folder. I am not sure if you are wishing to keep the old Cubase 4 files separate? If so, then don't open them in 5 and save them unless you create a separate backup project.
At least you have your old Cubase 4 files on a separate drive to keep things in order.
File management can seem a bit odd with Windows and Cubase. All must be in the same project folder. That includes all Audio, Images, Track Pictures, cpr files, and other folders included in the specific project such as Melodyne folders. If you introduce a sample or audio from a different project or drive, and the drive is not connected or a folder is moved, then you will get the 'missing files' error. I could see that happening if you introduced a Cubase folder from another drive, then opened it without saving all of it to a new folder. I am lost myself describing this. lol
Again, the reason 'Backup Project' is a good idea as it copies
everything to the new folder, regardless of source. Then you have that folder separate from your original project that was started in another version or whatever.
I hope any of that made sense and that I understand your issue correctly.
