Sounds like there's more wrong than UT2004.
I have to agree with that. Random files disappearing = bad. I suggest a virus scan, chkdsk scan and/or reinstallation of the OS at this point...
Go to >
Start > Administrative Tools > Event Viewer
click "Application" on the left
In column "Source" on the right half of the window, look for "Winlogon".
On the same row, "Event" matching 1001 is the que pasa on chkdsk.
Doubleclick that line matching both Winlogon and 1001.