What you say means that you actually have already downloaded the "torrent", the small file with the .torrent extension, and added (respectively opened) it to your Vuze.
The issue is, that Vuze doesn't know where the torrent's data file(s), the files listed to share in the small .torrent file from which the torrent was created, are located on your computer or storage device.
When adding a .torrent file to Vuze, it should show a window with the files and to where they shall be downloaded. There you have to change the directory (aka folder) to the directory where the data file, respectively if multiple the directory with the files, is located.
If that window doesn't show up, you need to change Vuze's settings.