1st- Look in the Trash-Recyle-Garbage Bin for it, if there...RESTORE! But...
Once in awhile, the Favorites folder crashes. It's sure a pain. Mine did last year. Ever so frustrating. See if there's a RESTORE POINT set in your anti virus software, your operating system or your anti-spyware/malware/adware software. Check them all. Start with the spyware, then the anti-virus program, then the main operating system.
If you can't find anything there, it's time for the Geek Squad.