I had the same issue with the print (& save to file) dialog box in IE. I could see the file in the dialog box, but not thru windows explorer.
I could finally locate the file at this location:
C:\Users\username\AppData\Local\Microsoft\Windows\Temporary Internet Files\Virtualized\C\Users\username\Documents\
I got to know the exact location by opening up the file in the dialog box thru my text editor. I then went to that location in windows explorer and "rescued" the files off to where I wanted them originally.