Try searching your hdd for your files(Start > Search > All Files and Folders).
It could be caused by a virus, so scan your computer. There's one that that changes all your files to zip or exe and moves them to the program folder. See this thread:
Music files changing to zip or exe: some info.
Also:
WARNING: Viruses on network you should be aware of!
If still no joy, post your details:
System details - help us to help you