This happened to me a couple times too where a file I've been saving all along just doesn't show up the next day. I found it is b/c the sidebar for "Documents" is actually a shortcut and the real file is saved in C Drive My Documents. Sometimes the shortcut isn't backed up or synchronized properly or as frequently but the real file is still there. One way to check is whether if you "open" in excel, it shows the file still in your recent documents. Another way is to save a blank excel (or other type) file with same exact name as missing one on your desktop. Then try to copy and paste that into your old location - if it prompts you saying do you want to replace the old file - it means the old one may still be there. Make sure you don't copy over your old one!
Not sure what this is about, in Windows 7 the default documents store is not in C:\My Documents, it's in C:\Users\UserName\My Documents.
Seems like you were just confused about where your files were saving to and how to read the file locations or how the programs see things. If you copy files in all sorts of different locations or open files and save them from email (which often saves in the temporary internet files area), you can run into issues with finding files.