Does this happen when you open an Excel file from an Internet link or email attachment?
My wife has done this a few times where she opens an attachment, makes changes, then can't find the files in her My Documents, so she re-opens the attachment, which saves over the file in the Temp folder. Hours of work lost.
My recommendation is to always use File -> "Save As...". On the left side, make sure to select My Documents.
If you do end up saving a file in the Temp folder, use the Recent list in Excel (in the File menu) to open the last used file and do Save As... to re-save it.
I suppose the only real way around this would be to create an Excel plugin that would check each save operation to see if "Temp" is in the path and prompt to confirm. Actually, that sounds like a great idea...