Sounds like you might have deleted your My Documents folder.
Obvious first question: Did you empty the trash folder? If not it will still be there.
If not, you might try creating a new user, which should create the appropriate files and directories under the profile. Not a lot you can do about what was in your My Documents and it's subdirectories though.
You can get Windows Undeleters that can handle directories as well, but it depends on whether or not Windows has overwritten any of the data.
Recover Deleted Files And Folders In Windows with Free Undelete Utility