I concur with Aleph_null1. Whatever is in your My Documents folder, and whatever you want to save... back up to some other media.
My Documents is a deranged twist on an old principle, that of linked directories. Your My Docs folder, while it appears to be at the same level as My Computer, is actually buried in a folder somewhere else... under Documents and Settings in XP. That's also where your menu stuff is... hidden in there.
With respect to everything else, I'd do a reinstall of all software. When you reinstalled XP, you created a new registry, and any settings that other programs put in the old one don't exist any more. So they may not work...
When someone else logs in, the link for My Docs gets switched to the space for their profile.
This leads to loads of fun when you're trying to find something later... as long as you can remember who you were logged in as when you saved it. I know I can't...
I never use My Docs for real. I always have my own directory for stuff, and I keep everything there.