If I understand correctly, your "My Files" folder exists on the "drive D" partition, which can be seen in Windows but no longer shows up in Ubuntu? This sounds likely why the link on the desktop appears broken.
Should that be the case, I'd highly recommend getting Windows to check the disk, in case it's file system corruption. I ran into something weird last year with folders disappearing from an NTFS partition.
In Windows, you can right click the disk → Properties. Under "Tools" there is a "Check Now" button. Alternately, open cmd.exe to get a more detailed report:
chkdsk /F D: