Go back to the e-mail message and open the attachment and do File Save As
and note the location. The file you worked on will be in that folder. This
is a pain in the ass, I know.
The work around is (in the future), open the file and immediately do a Save
As, and direct the resulting file to your My Documents folder where you can
find it again on a subsequent File Open.
The problem you did not plan for is that active e-mail files are not saved
in MyDocuments, so a File Save (CTRL + S) will not give the expected
results. This is why you need to save attachments before you start working
on them. You can open and edit, but you have to remember to save to
MyDocuments because that is not where they will automatically go.