Is a letter of recommendation from an employer useful, when the company has shut down?
There are quite a few issues to be careful about when considering a recommendation letter from an employer. Some examples:


Make sure they understand the culture of academic recommendation letters. In industry, lots of the time recommendations are more-or-less a token statement that someone worked for you and didn't cause any issues. Academic recommendation letters are very different, so make sure they have an idea of what kind of letter to write.
What exactly is the background of your letter writer? This is a bigger issue with PhD (or research-based masters) recommendations, but if your recommender doesn't have the background or credentials to understand what it takes to become a successful researcher or academic, then it's unlikely that they will be able to speak intelligently about whether you have those traits.
How common are industry to graduate school moves in your field? In a field like mathematics or physics, my guess is that most candidates do not have significant work experience and any work experience is usually far removed from the subject material. In a field like that, the people evaluating your profile are more likely to discount an industry recommendation, especially if it comes from a non-PhD, non-researcher. On the other hand, fields like business or engineering have many more applicants from industry and are probably used to seeing those recommendation letters, so it is unlikely to put you at a significant disadvantage. 
How well are your other bases covered and what are your alternatives? If you have recommendation letters that already focus on your undergraduate classes and research, then it may be more valuable to have a letter describing traits you exhibited in the workplace than another "he got an A in my class" letter.


In general, an employer's letter is never going to be as good as a great letter from an active researcher that you worked closely with. But most applicants don't have three of those on hand. Can a letter from an employer be useful? Definitely. Given the alternatives, is it the optimal decision for you? It's possible, but that depends on a lot of factors that you should probably spend some time thinking about.