Don't panic.
You meant My Documents in C: or My Documents under Documents and
Settings\user ?
If you meant the one under C, you can try to the one under Documents and
Settings\user (user = your account name i.e. administrator, jeff, etc.) It
might be there. Make sure to check all users there.
If not, you may have a problem. Also, did you do a clean installation and
formatted hard drive when you do your upgrade? If yes, big problem. If not,
should be there.
Finally - use Search to search the folder
