No, no, it's asking you for the one file because it recursively finds all the other files related to the project once you give it a starting point. This dialog is triggered because it can't find the drive and has lost all files, as the drive takes a few seconds to remount.
The larger problem is that when the drive idles, it's losing the full data connection and Windows tries to remount it... shouldn't happen. In an ideal situation, you just have a few seconds of lag before the drive spins up and it never disconnects.
I assume you're using Windows 7? Go to Control Panel > Power Settings > Change Plan Settings > Advanced Settings > USB Settings > disable "USB selective suspend"
Disabling this feature should keep your external drive spinning. If it doesn't you may have to alter your hard disk power settings.
Angelo Lorenzo
Fallen Empire - Digital Production Services