When you open or retrieve a session that was created with a database that does not exist in any of your active data locations, the Select Database dialog is displayed.
The top of the dialog box contains a message asking you to select another database, and indicates the name of the database used originally. The bottom of the dialog is similar to the Data tab, allowing you to select a database by highlighting it.
See if an appropriate database for your analysis exists in the list of available databases. If so, select it and click OK. If not, click Cancel, and edit your active data locations in Preferences.