Hi potty64 sorry I can't help you, but if you scroll down to the bottom of the page you will find los of answers related or similar to your request that have have asked for on here.
Assuming you are using Windows 7, run 'My Computer' via:-
Click 'Windows Start' button>select 'Computer'.
You should be able to see your Memory Stick device in the 'Devices with removable storage' list. If so, double-click it to open it and that should display a list of all the files stored on that device. Are you then able to see your missing documents?
If it is and you are not able to see it in the 'My Computer' window, then remove it and re-insert into another USB connector port if you have one available on your computer. Vista should then detect it, automatically load the necessary drivers and it should then show up in the 'My Computer' window