No need to panic. The VPJ file is what tells the program where the source files are and how to handle them. For protection, Save Project File AS routinely, giving it a unique # or name, so as not to overwrite prior saves. Using Save Project Files (no AS) will overwrite. From the HOME tab, that choice is available by clicking the caret to the right of the Save Project button on the toolbar.
This creates VPJ files. Once done, clicking on any saved VPJ file will reload the project. Don't delete or move any of the source files.
Export is not a conversion, but creation of a video file. Mp4 is the default, but there are many other formats. Using the free version, try the following...
Export as an AVI instead of mp4. 
If that's locked out delete Videopad via Windows Control Panel | ADD/REMOVE programs, then reinstall the current version, which will be a trial if not registered, but fully featured for a short time. Double-click your latest saved VPJ. Then export as a video file. Mp4 will likely succeed.
If these measures don't work for you, come back here for further instructions.