When was the file created and do you have volume shadow copied enabled on either the server or the workstation?

If you do I would see if you can look at a version from when they say the file should have been there and see if it is present. Unfortunately, the answer may be that they either forgot to save it and just thought they had, or it was never actually on the desktop but if you have the shadow copies at least you have evidence to back that up.

Unfortunately, no shadow copies.

Tyler the unsaved documents will help some for word and excel.  I am restoring from backup. going to go for a restore on last backup, hopefully the users documents are in the backup.

I agree the files should be on the server...

I would say that is definitely your best option, unfortunately if they aren't there and they aren't in unsaved documents (or aren't Word or Excel files) the data is most likely gone.

One other thing to check, is ask the user if they can remember the name of one of the missing files, then search their user folder for it. I've had a couple of clients who thought the files were on their desktop but in fact it was just a shortcut to that file located elsewhere, they had a network connectivity bump and the shortcuts deleted themselves when the user tried to open them but the resource was unavailable. It's a long shot but if the backup restore doesn't help its worth a look.

Thanks Tyler

Do you also have offline files enabled? If so maybe a sync and fix any issues might get something going..