With XP, your "My Documents" folder should be X:\Documents and Settings\*user*\My Documents. i assume that's where most things would be saved by default. If you are sure you're checking in the correct locations and still can't find anything, your hard drive could be failing. You could run something like CHKDSK (Start > Run > CMD > CHKDSK x:, x being your old drive) and see if any errors are detected.
Also, if you know what you're looking for, you could try searching your computer for them. I find the search methods of Windows to be rather useless, but sometimes they can be effective. Be sure you're searching for hidden files and folders, and then type in the extension. Say you're looking for JPG images, search for *.jpg. Word documents. search for *.doc.