The prefetch parameter on my PC is set to 3, but when I start up the PC there are no files in the C:\Windows\prefetch folder.

Is the prefetcher working?

Maybe when your shutting down some shutdown code is clearing it out?. I wouldn't worry about it, I empty my prefetch all the time, can't do any harm

The prefetch parameter on my PC is set to 3, but when I start up the PC there are no files in the C:\Windows\prefetch folder.

Is the prefetcher working?
The Task Scheduler Service Needs to be set to automatic then reboot. Do not clean the folder out, the folder is self cleaning at 128 entries to the 32 most used ones and manually cleaning the folder will REDUCE performance. Cleaning the Prefetch folder is a Myth!

XP Myths (http://mywebpages.comcast.net/SupportCD/XPMyths.html)