As you write a post, click on the picture ion in the toolbar

That allows you to include diagrams in your post.
I am keen to see a screenshot as I think this might all be a mistake. I think your system might be behaving itself but you have changed a setting controlling how it appears i.e. no files and no folders have disappeared anywhere.
I cannot show you a screenshot that matches what you see because I have deliberately altered the way mine appears. I think that, in addition to any screenshots you have already decided to post, you should include this one:-
Open File explorer, click on ThisPC on the left-hand side, take a screenshot that shows me both that left-hand side pane & what is showing on the right-hand side. This is mine but yours will not be the same

Where I have the red arrow pointing, you have [or had] a list - Desktop, Documents, Music, Pictures, Videos.
Where I have drawn a blue loop, you also have [or had] a similar-looking entry above it that also listed the same Desktop, Documents, Music, Pictures, Videos items but the list can be hidden using the dropdown arrow you can see within my blue loop.
In addition, you can have icons for some or all of those things on your Desktop but it is possible to change a setting to make them disappear. You can make them reappear by selecting them again in
Control panel,
[View by - Small icons, if necessary to make the Personalisation entry visible],
Personalisation,
[in the upper left] Change desktop icons,
and set the ones you want to see appear on your Desktop.
Denis