Need more info:
1. What did you use to download the music files?
2. What type of music files were they (mp3, wav, other)?
If you are SURE they are a certian type....like mp3's, for example.....search your entire drive for *.mp3
What may have been removed is just he program used to download the files....not the files themselves. If so...you will see them listed after doing a system-wide search.
Otherwise....you could try system restore (just search in your Windows XP help for System Restore and run the System Restore Wizard).
Restore the computer to a point BEFORE it the problem. I don't know if that will return any lost downloaded files, but trying it won't hurt if the above suggestion does not work.
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