I have not filed taxes for 2 years (2004, 2005) and I do not have the requisite documentation from those years. I do know that the IRS owed me a refund; I did not owe them any taxes. How does one file without this documentation? And do I need to file these years before I file for 2006?

Call the IRS and they will send you a transcript that shows the income that was reported for you to the IRS. You can use the transcript to file your returns with. You can still get your refund for 2004. It's 2003, that if you don't file this year, that you forfeit the refund. The IRS will only give refunds for 3 years back.
File 2006, but they may withhold any refund until they receive your 2004 and 2005 returns.

Thanks very much Mobea. I appreciate the information!

Exceptional and complete answer by Mobea.