Safari blocks, shutdown the computer, all files lost.

I'm new to Mac's and I was simply ecstatic till yesterday.
Safari went down during normal internet activity. Since I didn't now what to do and Safari wasn't responding to anything, I just closed all others applications and shut down the Mac (it is a knock-out, but it usually works with Windows).
After restarting, all my files that were created or modificated till the previous day were gone. Also, some things like dock preferences were changed to default.
I can only be happy to the fact I had the Mac for just one week, so i didn't lost too many things. But it's a problem that makes me really uncomfortable in doing anything with my MacBook.
So, what happened?
MacBook   Mac OS X (10.4.9)  

To properly close an app that is not responding use:
Command-OPtion-Escape keys
A window will open showing all running apps (and those not responding). Highlight the offender and "Force Quit".

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