Only opens first file of saved project

Win 7
Audacity 2.0.2

Audacity only opens first file of a saved project of 260 file.

You may be confusing “what is an Audacity Project” and “what is an audio file”.
See here:

I recorded a live stream, then saved the project, now I can’t open it all as one, just the first file.

Did you read the page that I linked to in my previous post?
If not, please do so.
If you did, then please describe exactly how you are trying to open the project.