WoW, that definately shouldnt be happening. Normally that message is associatied with a save with DLC's activated ... then you deactivate them , and try and run the save from used to have that content activated.
It's this then. Michael Bates (and OP) you must've accidently deleted a DLC, which, frankly, at least for me, is hard to do by accident. I get this message because of the way I must load DLC to avoid a glitch in the Pitt on 360.
Bates, stop.... then redownload the dlc, then reload a save before getting that message.
doofmaczemy: check your dlc location to make sure that you indeed have all that you purchased. It is possible you accidentally deleted a dlc. Re download it, then reload a save before the crazy began, and you should get all your stuff back, in addition to being able to go to PL. Be warned, PL on the 360 is laggy sometimes and a little crashy. Save often.