The directory vanished because you deleted it, probably by mistake, and without realizing what happened. They still show up in Word because Word saves a history of opened documents, regardless of whether they are still present on any drive on the computer.
Use your computer as little as possible until you are able to get some data recovery software. When attempting the recovery, it would be best to actually install the data recovery software on another computer, remove the hard drive that you're missing those documents from, from the computer it's in now, hook it up to another system (the one with the data recovery software installed), and recover from there. The more data you move around on that drive with the missing documents, the lower your chances are of getting it back.
When I say "moving data around on the drive" I mean anything that would cause data to be loaded from the drive, into RAM, and then put back on the drive (this happens pretty much when you do anything with your computer... such as opening a Word document), because when something is loaded from the hard drive, into your RAM, and put back on the hard drive, it is not put back in exactly the same place it was originally retrieved from (this is why files on the hard drive get fragmented).
In terms of a data recovery program to use, I am a fan of
EASEUS Data Recovery. I used it to recover 900GB of data from my backup drive about 6 months ago (yes, I wrote that correctly, 900GB). Works in every NT based version of Windows (2000 and later) both 32 and 64 bit. Sets you back $70, but remember to ask yourself how much the data you're trying to recover is worth to you.