Wow, that's strange. Have you tried some of the normal troubleshooting techniques, like repairing permissions, repairing the hard drive in Disk Utility, rebooting the computer?
I don't know how to use Disk Utility and also I did try rebooting the computer... Of course, I looked in the Trash, and it wasn't there. If you delete something from the command prompt, does it still go to Trash on the Desktop? Also, where does it go actually in the hard drive?
Also, you could simply drag the documents folder into your dock and it'll serve as an alias without the desktop clutter. Drag files to it and it'll move to the folder, or open the folder with a simple doubleclick.
If you, instead of making an alias, accidentally moved your Documents folder, you can just move it back. But it sounds like you really deleted it. And yes, Entourage (and some other applications) have their documents in Documents. (Mail.app has its mail in your Library folder.)
If you moved the Documents folder to the Desktop instead of making an alias on the Desktop (which is quite simple to do), then OS X may have re-created an empty Documents folder inside your user folder (where you normally expect the Documents folder to be).
Your original documents should still be somewhere on your drive, if you did not delete them either via the Terminal (command-line) or via OS X's gui (dragging them to the trash/hitting 'Command-Delete').