Firstly, I hope you have more than the *.prj file. You'll want the others by the same name - the *.c* and *.p* files have the configuration and program info. There are a few others to boot but I'm not sure which are required. You can delete the *.Q* files for sure - they are index files that will get rebuilt.
Assuming you do have the files, make sure they aren't marked as read only. Windows has a habit of doing that if you copy them from a CD, and Concept doesn't think much of read only files, since it wants to write to them. Right click on the files and make sure the read only attribute is off, or do it the old fashioned way with the attrib command.
