Using Audacity 2.2.1 and Windows 10. Message appeared when trying to export a file. Saved file, closed it and reopened. Warning appeared: Missing audio data block (files). Log error - Failed to load shared library ‘avformat-55.dll’(error 126).
any help would be appreciated
Did you “save” or “export”? If you exported, what format did you export to?
That DLL is FFmpeg, which is used for importing/exporting a variety of file formats. (It’s not used for WAV or MP3.)
I saved the file first before trying to export as a WAV file
I saved the file first
If you saved the [u]AUP Project[/u], I don’t know why it’s trying to use the DLL. 
You didn’t move or copy the AUP file, right? An AUP project contains multiple files & folders and things can get fouled-up if move them around.
before trying to export as a WAV file
It’s a good idea to make a WAV back-up immediately after recording. WAV files are pretty-much foolproof (as long as you stay under the 4GB size limit) and since it’s a single-file the WAV is harder to screw-up. And of course if the file is super-critical and impossible to replace, you should make multiple back-ups saved in multiple locations.
It depends on what you’re doing, but most of the time I don’t bother saving the Audacity project. I just export to WAV.