I still use a lot of folders within My Documents and can usually find what I want. But I also use an Outlook add-in program called Lookeen that indexes and is better than the Windows indexing. The program is mainly for e-mails (a feature I don't use), but it's good for finding lots of other items on my drive.
The other program I use quite a bit is PersonalBrain. A recent webinar on file management might give you further ideas--lots of potential for tagging, searching, etc.