So I imported my pictures into Lightroom from the current location which was on my thumb drive. After I played around a bit, removed my thumb drive, it then says that my photos need to be located? Does that mean I need to have an original folder of it somewhere in my hard drive and keep it there? It always needs to link to the original files? Can't it just live in Lightroom?
THANKS

The Import dialog contains several options, the default is to "Import photos at their Current Location" which will just link to the photos in-place. Other options include copying or moving the files into a LR directory structure, or convert to copy as a DNG file.

For importing from cards/thumbdrives, you'll probably want to "Copy" the files as you can then verify the import took place before formatting and reusing the card.

Does the folder name come up red in LR? If so, just double-click on it and a browser should open up.

Since you left them in their current location (the thumb drive), it needs that location to be on the computer for it to edit the files (you can still browse the thumbnails without the source files being online).

If you want them to be on your computer, you need to copy them (when you import, it's an option) and tell it where to copy the files.