Video icons turn yellow with caution even after I saved and edited the movie

I have made the movie several times.  The first time I reopened it there were small yellow caution signs on the video clips and I had to go back and add them in order to get the video to work.  After making those changes for an hour, I played the video, saved it, and when I opened it AGAIN, it had the yellow caution signs on some of the videos.  Most of the videos actually.  Why does it work and then not open after saving a successful video???