One possibility: check the extension. I had a similar experience. I have a whole bunch of jpeg files from hoots, festivals, etc., saved in appropriately named folders, most of which have filenames like "Bob at Folklife-3.jpg." I saved a jpeg file recently from a website and it disappeared entirely. It wasn't in any of the folders, nor in "My Documents" or "My Pictures" (sort of default folders). I went back to the website and noted that the filename was something like "Whatever.jpeg." Now, I thought all extensions were limited to three letters, but apparently not. I ran a search for "*.jpeg" and found several files I didn't know were there, including the one I had just saved. Try searching for "*.jpg," then "*.jpeg," and see what shows up. Good hunting!

Don Firth