Strange. Are you the only user on this computer? Second does your user have administrator rights?
The only thing I can think is is you have more than one user and you marked your files as private in the other user.
Try the easy steps if that's not the case:
1. Boot to Safe mode (hit F8 fairly rapidly at startup)
2. Login as Adminstrator
3. Click on Start, click on Run.
4. Type in cmd. Click OK.
5. In the command prompt window type in the following:
attrib -r "C:\Documents and Settings\your username\My Documents\*.*"
Hit Enter.
Replace C: with your system drive letter; replace your username with whatever username you use.