Windows XP by default keeps some important files and folders hidden. This is to protect files from accidental deletion, but if for any reason you want to see such files it only takes a few seconds to change this default behaviour:

• Open your “My Documents” folder (in fact it can be any folder)
• Click on Tools > Folder Options
  (In Windows Vista and Windows 7 you may need to press Alt key to display the top menu bar)
  
• In Folder Options dialog click on View tab
  
• To show hidden files select “Show Hidden Files and Folders“
• To show system files uncheck “Hide Protected Operating System Files“