Your files are all stored on a server, as long as you save them either in the “My Documents” folder, or on the desktop. Basically, this means that your files are safe, even if your computer is stolen or destroyed. Also, you will have access to your files if you log onto a different machine in your department. Finally, if you accidently delete a file that is over a day old, it can be recovered up to a week after, but no longer (so it is imperative to let your desktop support person know as soon as possible)
The "U:" drive (found when you double click on the My Computer icon) is for your personal files, the "S:" and "Y:" drives are for your shared work files. Only you have access to your U: drive, so be sure that if there are files that will be needed by your coworkers, that they are saved in the shared drives, rather than your personal area.