A very strange story with Windows 7 build 7100, 64bits
I was installing games to test the compatibility, very bad indeed with older games, often because of the protection system. At the end of one game installation Windows 7 refused to install a driver for security reason. I clicked ok and lets the game completes the installation. The systems asked to restart, I do so. It took much longer than usually to restart, and when it came back, all the exe and dll of the games I just installed before the last boot up and the restart where gone, as well as the desktop shortcut. But all the folders and the data and configuration files where still there.
I checked the log of the system and the only suspicious entries I found was an event 33, from volsnap: "The oldest shadow copy of volume c: was deleted to keep disk space usage for shadow copies of volume c: below the user defined limit." maybe unrelated.