Bookmarks are stored in C:\Documents and Settings\username\Favorites
usrename will of course be the name of the account you logon with
such as Administrator if you log on the Administrator account.
Take a look in there and see if your bookmarks are still there.
also look to see if there is a account folder named TEMP if so
sometimes a account profile will get corupted and windows will
create a TEMP profile and log you on with that profile. in this case
your desktop icon will have gone also.