Rekordbox

I am new to using rekordbox.  I am using Pioneer DJM 2000 Nexus, 2-CDJ Nexus, connected with a MAC or PC. I have downloaded my music files and placed them in my rekordbox collection folder.  I have transferred music to both my MAC and also my PC but none of the files will play on the computer unless I insert the flash drive.  Even when I connect my computer to my DJM and CDJ the files in rekordbox still will not play unless the flash drive is connected in computer.   I thought the files should play even without a flash drive inserted.  I'm not sure if I am doing something wrong or what to try next.  Any help and assistance will be greatly appreciated.  Thanks, Wil