For Windows XP/Vista/7, its a good idea to store your files under your profile name in the Documents, Pictures, Music, Video, and other personal folders. You can create subfolders for each program and place only the appropriate data files in them. Alternately, if you only have one profile on your computer, you can create folders for each member of the family in the Documents and other folders. Give files and folders names that will make sense even after you've forgotten why you created them.
In addition to organizing your files, at least every two months you should delete files you no longer need. A disk filled to within 5 percent of capacity is more prone to errors -- and a lot slower -- than one that is not so chock-full. Creating an organized system to save your files helps in retrieving information months or years later.