If you've been using the "External Images" option to keep your documents small you should consolidate the comic before sharing it. If you used some special (non-Comic Life fonts) in your comic be sure the other user has access to those fonts or they will see warnings when they open your document.
A warning dialog appears because this operation is not undoable.
The images are imported.
If you want to keep working with a copy that has external images save a copy before doing the consolidation. See Saving a Copy of a Document for more information.