In the dialogue box that comes up, click on Browse for folder then using the File explorer that pops up, locate the folder and then click on OK.
If you like the instrument and want to keep it, click on the File icon in Kontakt and select Save as..
You should see a tab/label pop up with Instrument#1 (name of instrument), which you click on to bring up Save Instrument dialogue box.
You can choose how to save the instrument. Compress Samples will save the sample in the NCW format or if you uncheck it, it will save them as .wav files.
Click on Save and the next time you open it, it will find everything without any problems next time.
There are indeed, quite a few instruments with this issue.
There may still be some files missing, you have to use your noggin to find some of them or copy them from other folders. When instrument creators use a .png for a nice image, they may have linked it on their own computer to their Pictures folder and saved it as an instrument on their own computer, then added the image to the upload to Pianobook.
When we open it on our computer, Kontakt is told the file is located in the Pictures folder of the creators PC, not in the downloaded folder that contains the instrument. Let us know if anyone is struggling with similar issues.
There is another instrument that was missing 30 wav samples (nowhere to be found). I managed to contact the creator and he just says to click on Ignore it and it will probably be OK.