I just tried running Ubuntu from a USB Stick and I can't locate any files created under XP - documents, photos, etc. Can't even find the C:
drive.
Am I doing something wrong?
Which version of Ubuntu did you start? I assume you are referring to 12.04.
At first, look at the left for an icon named "Home folder". Click it and you will see a window similar to Windows Explorer, like in this screenshot.
Then look at the devices and search for your Windows drive. It will not be called "C" but it has the same label (e.g. "Windows").