I believe this is the same issue that has been going on since Windows 8 was introduced. It sounds like you have company1.sai in one folder and company2.sai in a different folder.

When you do a File, Open from the program while company1.sai is open, the Filename box at the bottom contains the name company1.sai. When you switch to a different folder, that file is not present, so you get the message.

I know you didn't get the message when running your previous Windows version (probably Win7) but the solution is to click No and then select the proper company, or before you change folders, delete the filename from the box.

I have not yet heard from anyone at Sage about whether this issue will be corrected. I haven't tested the latest versions on Win8 to see if it is still an issue.