First, I hopefully assume that you are referring to completed downloaded files... And, not temp or partial files !
Next... One click will not delete your files... You have to confirm your action(s) with at least another click...
Try to do a search within Windows...
Start Search
Then, as a beginning, search for .mp3 or .avi or .pdf or .wma or whatever file extensions most probably match your 'lost' library files...
They are probably still on your HDD...
Also, have a look in your
Recycle Bin...
Do this by double-clicking the left mouse button with the cursor on the Recycle Bin Icon on your Desktop...
If you have not emptied the Recycle Bin, you will see your 'deleted' files (which are NOT actually deleted) and you can simply either
Undo the 'delete action' or copy (or) move the files to a suitable directory.
p.s. You can also change the characteristics of your files, so that they are even more difficult to delete, by simply making them
Read Only files... This you can do by Right-Clicking on a file and then selecting
Properties from the small menu...
You'll see...
