Hi and welcome to the forums. I have whitelisted you so you can now post in any of the developer forums, and I have moved this question to the CodeXL forum.
You need to build your code with debugging info enabled (/zi) before you use it for profiling. Teapot sample is build with debug information and hence you are prompted to locate the source file when you double click on the hottest function.
You need to check "Alert when a source file is missing" check-box present in "Tools -> Options -> General" tab.
Let us know if you need any additional information on CodeXL.