If its a case that somehow your files have got deleted from the removeable drive or memory stick, then you can often successfully recover deleted files from them, it all depends on what has happened since the files were deleted.
When you delete files the data itself isnt deleted, just the index entry that tells the system where the data for those files is located. The area containing the deleted data is also now marked as free space so it is available for any new files to be written there instead.
If and when that happens, then it is too late to recover your deleted files so it is very, very important to not save any new files or data to the device concerned.
If the deleted files are on your PC, use another PC to browse the internet for a solution as internet browsing causes lots of temporary files to get written to the disk. Download any file recovery software, for example, to a memory stick, plug that in the computer with the deleted files and run it from there.
If the deleted files are on an external device like a USB drive, camera memory card or USB memory stick, just dont save any new files to it.
One of the easiest ways to see if you can recover deleted files is to try some good file recovery software.
A good tip is to try the free demo version of a commercial product that will scan the device for deleted files and show you exactly what files can be recovered. At least that will show you if you can recover the deleted files or if its too late already. You can find more useful information on how to recover deleted files at http://www.repaircorruptfile.com/Recover-Deleted-Files.html
Hope thats helpful to you