It seems strange that you can open the part by right clicking and opening, however when I had problems with SolidWorks finding parts I follow some suggestions from this. http://www.javelin-tech.com/blog/2014/04/why-is-solidworks-unable-to-locate-my-assembly-components/
is there a configuration that is missing? it may be finding the right part but one of the configurations is missing...also check the tool box...to make sure that the part is in the tool box.
file find referances will tell you exactly where solidworks is looking for the file. sometimes those tool box parts can be kind of finicky....
so check where it is looking for the files.
The part you are having problems with is a Toolbox part (it has a different icon).
If you copied a Toolbox part to make it your own, you should remove the toolbox flag. See this guide for doing that:
If it really is in your Toolbox, make sure you are pointing to the right Toolbox folder.