Are you logged on as an Adminstrator? You probably need to take ownership. Right click Documents, Select Properties, Security and make sure that you have full control, if not select Edit and change it.
If the icon has an arrow its a pointer - not the fuile itself. Right click this icon, then <properties> will show you where the folder actually is located. It should be in te root folder of the C:\ drive. Here you will find the icons for the actual folders and its these you need to look at. In each case, right click the icon, select Properties, and make sure that the <Hidden> icon is not ticked. You will then have to drill down and check each lower level folder in the same way.
Vista doesn't have a Documents and Settings folder, the equivalent is the "Users" folder at the root of the drive. The Documents and Settings folder you see is just a junction (similar to a shortcut but more powerful) for compatibility with previous Windows versions. Ignore it and look in the Users folder.
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