We'll need a bit more information...

http://www.gnutellaforums.com/showthread.php?t=62652

Also,

Are you logged on as the administrator?
Have you tried changing your save folder?
Have you tried the previous version of Java (some have trouble with the most recent version)? Java SE Downloads - Previous Release - JDK 5
Can you locate your save folder? Are there files in it?
Did you just do a manual search, or have you used the search function on your computer?

Thanks

Dan