The important concept to grasp about Moodle 2.x files, is that *all* the files that are used in an individual activity need to go in the file area that is exclusively for that actvity.
In the case of a HotPot activity, you need to put all the files into the "Source file" area that you see when you are adding or updating a HotPot activity.
I know, it's unexpected and painful if you are coming from Moodle 1.9 and are used to keeping all your files in the course files area and sharing them between activities.
If you have migrated your site from Moodle 1.9 to Moodle 2.x, then all the files were put into the "Legacy course files" area for the course, and the HotPot module should be able to find them. If it does find them, it will copy the files from "Legacy course files" area to the "Source file" area for the HotPot that needs them.
If you are creating a new HotPot activity on a Moodle 2.0, 2.1 or 2.2 site, you will need to upload both the Hot Potatoes file and all its media files to the "Source file" area for the HotPot activity you are creating.
If you are creating a new HotPot activity on a Moodle 2.3 site, you can create an alias to the Hot Potatoes file. An alias is like a link to the file in a repository. A "repository" is an important idea of Moodle 2.x. You can ask your Moodle admin to create a "File system" repository, that acts like the old site files or course files in Moodle 1.9. If you link a file from the Moodle 2.3 HotPot activity to a "file system" repository, then the HotPot module will be able to find all the audio and image files and lnk to them too. You won't have to do that by hand.
Probably I haven't explained that well enough, but I have to go now ...