Undelete software never works for me

I deleted my download folder by accident.  I got used to using shift-del to delete without it going to the recycle bin (winxp), and it shifted the focus to another window I had open while not greying out the window that supposedly lost focus.  So the file I was trying to delete was shown as selected, but didn't delete and I noticed the directory in the other window did.  (It had everything I downloaded from torrents/etc that hasn't been sorted to somewhere else, which was basically all of it since I don't clean up that often and it was fine sitting there.)  I immediately stopped using the drive.

So I've been trying a bunch of undelete programs, and all of them seem to find various things on the drive from nearly a year ago or maybe further back, but this folder I JUST recently deleted shows up entirely empty.

How can that be?  Is there something different or special about deleting a folder as opposed to all of the files inside?  It just seems it would be easy to recover, but I'm not having much luck...

Any suggestions?

try searching for the files within the folder rather than the folder itself