If I had to guess I would say you were using drag & drop and dropped the files in the wrong spot. If this happens in Windows Explorer you can hit Ctrl+Z (or use the Edit ... Undo from the menu if you have menus enabled) and it will move the files back to where they were. But since you know where they are ... on the desktop ... it may be easiest to just move them again and be sure to drop them under My Pictures or My Videos, etc.