If I open a document from my email, modify, save and close, it saves it to:
c:\documents and settings\*user name*\local settings\temporary internet
settings\OLK###
*user name* would your user name
### represents some number... it varies.
You might try looking in this folder. You may need to enable the ability to
view hidden files/folders first, as I believe these folders are hidden.
Hope this helps.