|Are you using the Nokia PC Suite to view files or just Windows Explorer?|
Using Nokia Suite you can view the memory card and internal memory, make sure you are reading the correct location.
Depending on how you transfer files to your Nokia phone memory card they could end up in different folders, instead of music being in music, it could be in a folder called Others. This can apply to other files as well.
If you have the Nokia Suite installed you will see that it has has a Music folder there in phone memory, but when you transfer from pc it goes to the memory card instead.
If you didn't get a cd with your phone, you can download the Suite from Nokia.
If you are still having trouble finding the files, try removing the memory card and using the SD card adaptor to read it in your pc using a card reader, some pc have them built in some are in printers, or you can get a stand alone card reader for a ferw dollars.