If you did an upgrade install and elected to save your previous setup then
there should be an option to remove XP in Add/Remove Programs in Control
Panel.
If the previous setup was not saved, then the only way to go back to it is
to format and start over.
That said, all your information may well be there, just not in places you
are used to seeing them. Try this, open Explorer and do a search for common
file types of the missing files. If they were made in MS Word, they'd
likely be DOC files and you would do a search accordingly. If they files on
your system, they would turn up in the search and from the search, you could
determine location.
I don't know from what version of Outlook Express you upgraded by you might
do a search for dbx files as those would be the location of your e-mails and
search for wab as that would be your Windows Address Book. Then, try to use
the import function in OE to move the information to the current Outlook
Express...you will need to navigate to the old location during the import
routine. The import function should be on the file menu in OE.