For the messages, from the messages screen, hit menu and scroll down to View Saved Messages. Anything there? If not, you could be running so low on memory, that your phone has deleted some to make room. If you go to options>memory, what does it say your Application Memory Free Space is? It needs to stay above 15...higher is better...25 + is good. Pull the battery out and return it if low.
As to your missing files, from the media player, hit menu then explore. It kind of works like file explorer on a PC to let you navigate around and find files.