That's why some people include their e-mail in their regular backup. Then they lose far less if something happens than people who don't.
Maybe the folders are just where they were, but WLM couldn't access them for some reason so it made a new empty set. http://www.pcworld.com/article/189238/win_live_mail_store.html tells where they are (unless you changed the default location yourself, but then you would know).
Since the location is inside the user profile, it's possible also that the profile was corrupted. In that case, Windows makes a new empty profile that has none of the file. However, the old files are still in the corrupted old profile. All you have to do is to copy them to your new (temporary?) profile.
2 days ago I couldn't get onto my Windows Live Mail. When I finally did, all my folders have disappeared! Emails that I've been saving for the past 6 months gone. Also my Sent mail folder empty. How can I retrieve them?