How are you recieving that warning? Anything that shows up in your search results should be looked at with a suspicious eye. LW doesn't send out warnings via the search results. Those are spam and should be ignored. Also LW can't control the contents of the network. Files on the network are what's being shared by other users.
Don't know what could have happened to your missing files. Try searching your hdd for them and do a virus scan.
See this thread for info on fake/spam files:
http://www.gnutellaforums.com/showthread.php?t=63993.
See this thread for tips on searching and downloading files.
How to find music