Also, so far, four other folks on this thread, not including myself, have suggested this sounds more thirty-party, virus related.
I had a friend who had this exact problem with XP, believe it or not. It turns out that his user profile just got randomly corrupted by XP, perhaps because of a hard power-off during a lockup or something, and poof, the “my documents” directory and everything in it was gone. I also started to experience this problem when my hard drive began failing on my XP laptop. Luckily I was able to log onto to the guest profile and shuffle most of my files off before it bought the farm for good. My advice is to keep all your important documents in a subfolder of the root directory, rather than trust the “my documents” folder since it’s dependent on the user profile.