Are you looking for them on the computer or device? if you are looking on the computer you need to enable Mass Storage Mode on the device. if you are looking on the phone and have Mass Storage Mode enabled you cannot explore files while connected to the PC
When connected to the pc with mass storage enabled then go to mycomputer then blackberry1 for the 1gb internal memory and blackberry2 for the memorycard
When not connected go to media->bb button->explore
The not connected is always available but the first needs options->memory->auto enable mass storage mode when connected set to yes'
Posted from my CrackBerry at wapforums.crackberry.com