RStudio projects save your state (not in the .Rproj file, but in the hidden .Rproj.user directory). So, if you had the files open when you last used the project, they should open again when you re-open the project. On the other hand, if the files were closed, you'll have to re-open the ones you want to use.
Are files not opening that you had open when you last closed out the project?