User Libraries (Quartus II 5.1)

The symbol files are not needed during compilation. You need the symbol files only for inserting the symbols into a schematic.

Your library directory needs to have the schematic (.bdf) or HDL (.v, .vhd, or .tdf) file with the filename matching the entity name inside the file. If the filename and entity name are different, you will have to add the individual files to the project as you described.

Edited post:

On second thought, the entity name doesn't explain your problem. Because you are using a schematic, the filename is used as the entity name. There is nothing inside the file that the filename needs to match as is the case with HDL files.

Be sure the schematic, not merely the symbol file, is in the library directory.