Start with DaveC426913's advice first. Right click on "Recycle Bin", select explore, click on the folder (shortcut) and select restore.
If you "emptied recycle bin", then the file you are looking for is the "My Documents" folder under "Documents and Settings". The icon on the desktop is just a short cut which can be restored.
One can 'right click' on a folder and drag it to the desktop, and select "create/make a 'shortcut'".
I actually prefer keeping all documents on a second HD, and using the primary HD for OS/Apps only. This way, if the primary HD crashes, I still have the second one with all the data/text files.
I also back up the data files on another PC or external HD. I have seen too many corrupted/crashed HD's.