I presume the application (which one for heaven's sake?) prompted you to
save as you closed it, and you didn't see any error messages when you did
so. Based on the scraps you've given us (what version of Windows, for
example?), chances are it has saved it - but where? You could open the app
again, create something, close the app and simply watch where the files go.
(I'll confess to having done this recently!) Some apps even give you a list
of the last few files they opened in the File menu (Word does this).
Or, you could search for apps of that type (eg myWordDocument.doc would be a
..doc file) which were modified in the last 24 hours. If you study the
Search (or Find) facility it'll give you these options. Many systems have
the setting "Hide file extensions for known file types" set in Windows
Explorer (in XP: Tools, Folder Options, View) which leaves unsophisticated
users in the dark about the importance of file extensions like ".doc".