Maybe try to view the list of recently opened files: http://www.nirsoft.n...cent_files_view.html
I don't have any experience with such things happening in MS Word, but there are situations where a Windows feels like you shouldn't be allowed to save a file in the location you are trying to save it, but rather than complain it will save it in a different location while PRETENDING to save it in the location you have asked it. I forget the directory it saves to in this case, it's some weird hidden directory -- maybe others can remind me?
I wouldn't think MS Word would fall victim to that, but it's possible. Another thing you might try is to retrace your steps and do the same things again paying more attention to any clues, and see if it saves changes the next time. Also check the list of recent files in Word.
It doesn't sound like this is what's happened to you, but one thing that i have experienced with a compressed archive before is that my file explorer has a feature that lets you browse inside it as if it was a virtual directory -- and it is possible in some cases to open a file in there for editing while doing this virtual browsing, and think you have opened the actual file, when in reality you are editing a temporary file in a temporary directory.