everything disappearing except your desktop wallpaper usually means explorer (the Windows shell) has crashed

If Explorer is crashing constantly every time, this is probably a serious problem - most likely a hardware issue

If you're using Wubi, then the Linux virtual hardisk is hosted on your windows partition. If the Windows partition goes tits up, so does Linux

It's likely your hard disk has bad sectors on it
Your hard disk may even be on the way out

I suggest you buy another hard disk, ASAP
- Bung it in the machine, along side your existing disk
- Get hold of a Linux LiveCD (download and burn using another machine)
- Boot your machine using the LiveCD, and install Linux on the new disk
- Mount the old disk, and copy important files from the bad hard disk over to the new one
- Optionally, run disk diagnostics on the old disk to determine what's going on with the old disk (is it salvageable)

In addition to an Ubuntu LiveCD, you may also be interested in this
Trinity Rescue Kit

It's a Linuc LiveCD specifically designed to fix hosed Windows machines
and has lots of diagnostic tools available for data recovery

Full documentation of Trinity Rescue Kit is here
http://trinityhome.org/trk/prtdocs/

Relevant sections include
Chapter 3.1 - Rescueing files of dying harddiscs
Chapter 3.6 - Hardware testing