Hi Manjunath,
My few cents,
Have you searched the erroneous messages on the adapter engine?
Have you tried to use the payload message search over this interface and others similars?
I think that Eng was right and from another place those files are being moved, have you tried to create a subfolder and take the files from there?, in this way you can avoid the possibility that another channel or system bad configured had moved the file.
Regards,