If you are using Windows Media Player, be sure to go into the options and make sure that your Library settings aren't re-arranging the files. See the screenshot I've posted for optimal settings. You could also un-check the "Delete files from my computer when deleted from library" option. I am making an assumption you are using WMP. Note that I disable the automatic data retrieval because it may sometimes mistag the file and in fact result in incorrect song tagging and many other unpredictable issues. This can happen even if you allow the Library function in Windows Media Player to simply add additional information to a song.
Check your disk integrity using CHKDSK:
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Consider running a System File Integrity Check:
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If there are still NO problems found, its time to start checking for viruses, malware, and trojans. Run a free scan:
Free ESET Online Antivirus Scanner
Or get Microsoft Security Essentials.
The most common causes of missing files on a hard drive are due to file system integrity failures, early signs of hard drive failure, user error, and compromised system security. Be sure the files are not being named or removed on their own by your media player, as well.