There is a problem in some Window's OS systems involving the "write cache" of the hard drive. If the proper patches have not been installed, then when you turn the computer off, items in the "write cache" will not be written to the hard drive. This might inlcude FAT table items which determine the location of the files on the hard drive and thus files will appear to disappear.
I don't recall if you said what version of Window's you were using, but some versions were more prone to this problem than others. But if your problem was the the result of the "write cache" problem, then you'd need to apply the proper hotfix to correct it, to prevent future problems.
Cheers,
rfs
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