There is a dashboard of sorts that pops up to do with saving Word documents and you have to look to see where it is defaulting to. If I don't watch it my documents would store on University servers. I can still see a few things I saved a work several years ago.

You need to Autosave so you don't lose your work, but the best thing to do to keep control of the document is to FIRST open the folder where you want it to live. Right click on the screen in the folder and you'll see "NEW" at the bottom of that popup dialog. Scroll to NEW and then you'll see FOLDER at the top and below it various types of software you have installed. Move the mouse to Word Document, give it a name and save it right there. Then it should stay there.