The AUP is a semi-English text file with instructions to Audacity how to open your show from the work in a similarly named _DATA folder. You need both and they both have to be in the same place or folder for the show to open.
If you recently deleted the project “_data” folder, look in the Recycle Bin to see if it can be restored. If it’s there, restore the file, ensure that it is in the same location as the “AUP” file, then the AUP file should open correctly.
If you selected the AUP file and _data folder then copy/pasted them into the same folder, you will risk destroying the project because Windows must rename the AUP file and _data folder to copy into the same folder, but it does not change the reference in the AUP file to point to the renamed _data folder.
If you only copied the AUP file it gets even more messy.
Either do the copy of both AUP file and _data folder into a different folder, or (safest) use File > Save Project As… in Audacity to save to a new project name.