Yeah. It eats shortcuts. It's part of their maintenance-manager feature (I can't recall Windows' name for it) and you'd better not disable it because then you'll also be without security aspects that you definitely want. I haven't lost actual folders of stuff, just shortcut icons, so I created a folder on the desktop and keep "spares" in that, so I can copy them back out when they go. And they do. I sat there and watched the effing thing gobble them right in front of me - a whole row (I use shortcuts a lot) just disappeared before my disbelieving-and-very-pissed-off eyes. And I had just finished using a number of them, so Microsoft's fantasy about house-cleaning unwanted icons is exactly that. No matter WHAT you do, they are going to go walkies periodically. More here.* I feel your pain.

* Tech: Windows 7 Disappearing desktop shortcuts