1. In Windows, it's easy to confuse a zip file and a folder. If you're opening Lectora from a zip file, it'll open the AWT (project) but won't be able to access any images in the zip, hence "missing resource" notifications. Solution: unzip to a folder, then open AWT.
2. A Lectora project includes an .AWT file (the main project file) as well as couple of folders (/images/ if you have images, /media/ if you have sound, /extern/ if you have any other files attached to the project). It could be you copied or downloaded only the .AWT file and forgot to copy/download the folders, hence the missing resources.
3. Any file naming issues, network issues, etc can cause this. Make sure you open the project locally and that the file names look okay (e.g. they don't include corrupted accented characters, special characters etc). Happens a lot to non-English titles.