Make sure you are displaying hidden files and folders for the directory your looking at.
Alot of times when you plug in devices like that, and windows, with all it's vast wisdom decides it's best to "scan and fix any errors" (which i really hate btw) it will actually create a folder that is hidden by default and move anything it deems "corrupted" or "unfixable" or just plain unknown to it into that folder. I am assuming that this is the issue.
However if you're just trying to record video, and recover it from the phone, then removing the SD card, mounting into reader (as TM suggests) should resolve the issue. Just don't let winblows "fix any issues" when you plug it into your computer.