It means the songs are not there. Where are you playing them from? iTunes or another audio program? If iTunes then add them to the iTunes music library as described in a sticky at top of this section. How to transfer music to my iPod (& iTunes) {click on link}
If from LW, then it means you are for some reason deleting or moving your songs from the LW download folder.

Playlists are a document that notes the location of a file & points a player to where to find it. If you add a file to a playlist & later move or delete that file, then the playlist won't be able to find it & have similar result as to above.