That sounds like there is a file listed in the mdl_files database table that does not exist in your moodledata directory on your server.
Did you copy the moodledata as well as the database?
As for fixing it - best solution would be to copy the moodledata from the site where the database came from. If you can't do that, turn Debugging on, see if you can work out exactly which file it is, then either delete it from the mdl_files table OR try to copy that file from the original server (look at the 'contenthash' field, then look for a directory + subdirectory that start with the first 4 characters of the contenthash - e.g. if contenthash is 'a9bc04acd...' then look in [moodledata]/filedir/a9/bc/ for a file called 'a9bc04acd...').