It is important to differentiate between steps for recovering deleted files and the steps you need to take if there is physical damage to your drive.  If your hard drive has is making strange noises, shaking, rattling or smoking, then there is no software fix that will resolve your problems.  You need to turn your computer off immediately and call an IT professional.

Whenever you realize that you have lost data, the first thing to remember is to not write anything more to the hard drive i.e. don't save any more files. The more data that is written to the hard drive after the accidental deletion of files means that there is a greater probability that the lost data will be gone forever. 

The first step is to visit the recycling bin to see if the missing files are there.  If that is the case, it is a simple procedure to move the files from the recycling bin to the main portion of your file system.  If you were careful with your computer set up, you may have installed a program like Norton SystemWorks to protect yourself from viruses.  Programs like this often include automatic backups.  You will need to check with the software documentation to see how to recover any files from the backup archive.

If Windows cannot help you find your missing files, you will want to consider using data recovery software.  There are many packages out there.  Some are shareware, and a couple are even freeware.  At this time we will not begin to review the many data recovery software solutions that exist.  Suffice it to say that quality data recovery software can retrieve at least part of your missing data with a comparatively high frequency.  It will also include utilities for searching for and organize the missing data, so that you do not need to wade through a list of everything that has been deleted from your computer.

Resources
A Free Recovery Utility - ADRC

Part 2: What, When, & How to backup