The exact same thing happened to me, and to two IT people I know, as well.
You're going along dutifully saving, then when you go to upload it, it ain't
there. Here's a sampling of what I tried:

Search from the Start Menu, including hidden files & folders, C & E drives;
Searching My documents, My recent documents from Windows;
Using the last modified documents in the File Menu in Word;

Trying to get to the temporary folder using Explorer: Reopened the
attachment, pretended to Save As..., copied down the path to the file, tried
to get there using explorer/my computer. Hidden files are showing, of
course. I can get most of the way there but the last folder or last two
folders don't appear.

C:\Documents & Settings\S7S\Local Settings\Temp Internet Files\Content
IE5\8TY38X6R\filename.doc

Temp Internet Files only has cookies & icons, no folders. If I try the
Administrator folder, I can at least get to Content IE5, but no further.

I think Suzanne is right; the temporary file is deleted when you close. And
it's not in the recycle bin either!!!

And it's not in my email mailbox or on my ISP's server.

(I do miss the days of WordPerfect and other non-Microsoft options...)