If possible, do not save anymore data onto the system after the data in question have been deleted. Close all applications without saving any data to the disk or other data storage media (if possible). Even searching or downloading data rescue programs from the Internet can overwrite areas of your hard disk, restoring your lost data is thus complicated or even becomes impossible.
If in doubt, shut down the computer!
Think calmly about how the data were deleted. Try not to panic and quickly restore the data in question. Reckless behavior can lead to even more data loss.
Make sure that the files are not located in the Windows Recycle bin.
If the data is really deleted, you should employ O&O MediaRecovery for the data rescue.