Did you ever log on as the user "administrator"?

After clean installation did Windows come up with Welcome screen which ask
you to configure Automatic Updates, Internet Connection and ofcourse set 5 or
atleast 1 user. If yes, then you may not have an Administrator folder in
Documents & Settings because you are logged in with a new administrator
account of your name. According to me, on most PCs where Windows XP unable to
detect proper video settings and effects logged in the user with Default
Administrator account but on most today's pc it comes with a welcome screen
after installation and prompt the user to create new account.

Administrator account can be used for troubleshooting purposes. So, it is
adviseable that you do not use that account. In future, if you require the
administrator account then just click Start - Log Off - Log Off. At the
Welcome Screen press CTRL+ALT+DEL key twice (for Windows XP Professional) and
you will be presented with User Name and Dialog box, where you can type
Administrator as user name and password which you have used while the
installation (if any). For Windows XP Home Edition boot into safe mode to see
the administrator account.

But the next time you will reboot your PC the administrator account will not
appear on the Welcome screen and you have to do the same procedure again. If
you still want the Administrator Account on Welcome Screen then following is
a registry hack which you can apply to do so, which is not recommended unless
required.

http://www.petri.co.il/add_the_administrator's_account_to_the_welcome_screen_in_
xp_pro.htm

Once you logged in with default Administrator account you will be able to
see it in My Computer.

Hope this help, let us know!

Thank you, Stanley and Raj. I see that both your replies concern the issue of
being both the administrator and user of a computer.

Stanley, actually I only log on as Administrator in Safe Mode. The only
thing I can think of that I needed recently as Administrator was to schedule
a task, which could only be done (a) as an Administrator and (b) in Safe
Mode. I didn't think to check if the Documents and Settings folders were
present, though.

Raj, as you note, during installation Setup asks you to name 1 to 5 users
and sets up accounts for them. I did that, but I did the same in previous
installations. I set up Alice as a user account separate from the
Administrator account. The system opened a set of folders for Alice under
Documents and Settings (My Documents,  Local Settings, SendTo, Start Menu,
etc.), and I proceeded to use that account for daily tasks.

But when I installed XP previously, and also created a user account Alice
separate from an Administrator's account, I could still see a set of folders
for the Administrator under Documents and Settings. This time that set of
folders wasn't there and I wondered why.

But lo and behold - today I had a still-unexplained system error which led
me to run chkdsk from the recovery console. It reported that it corrected
some problems, and when I booted up again, suddenly the Administrator's
folders were right at the top of the list where they used to be! I do not
actually use the Administrator's folders since I save all my data under the
user name Alice, but at least the mystery is solved even though I have no
idea why it happened in the first place.

On a side note, I think it is fairly new that XP has a default setting
during the installation to make a separate user account for the
Administrator, and IMO it's a pretty good idea. Always good to have an extra
layer of caution between humans and potentially expensive mistakes,
especially when those humans might be very tired after a long day in front of
the computer. If you have to log off and log back on to carry out an
Administrator function, you reduce the chance of making a careless mistake.

Thanks so much for guiding me and trying to help.

Windows doesn't make a profile directory for a user that has never logged
in.