I had a thought but it can't be if you mean a downloader like Kazaa or something.
I thoguht you might have meant from the internet with media, in which case I thought it could have been because of the Tempory Internet Files deleting from temp and thats why they went when it shut off.
You'll just have to be more careful, though I don't understand how it restarting could have deleted everything from that one folder... and why it crashed