bong, ask Bill why, not me. Personally, I make a point of not criticising someone else’s work if I cannot do it at least as well or, preferably, better. Since I can’t program my way out of a paper bag, I am more than happy to have Microsoft do it for me. If I decide that I don’t like the way they program, I won’t buy any more of their products.
Perpetual upgrade revenue streams. Evil Bill is smarter than you think.
ALL YOUR FILE ARE BELONG TO US!!! 
I’d rather not, thanks. 
I’ve done something like what the op had done. At work we use templates for some things (vacation request forms etc) and I worked on a template, then clicked on “save”. Because it was a protected file it didn’t save anything, nor did it warn me. I closed the file and tried to look for it again later, no luck.
I found the proper file as a temp file, renamed it and it worked! Good thing I know how quarky Win 2K is.
You have a tiny chance (assuming it’s a doc file). Search on a word in the file. You may have named it wrong or it may be stashed as a temp file. Kind of a forlorn hope, though.
Also, search the whole disk and not just My Documents.
Word also has a setting for auto save. If you select Tools from the Options menu a dialog box opens up. Select the save tab and check autosave and set the time frequency for the save. That way, unless there is a more serious problem with the system, you will have the file up to the last autosave.
Nothing like learning by experinece. One last thing to try to find the file. Word does not open the orignal file, it copies it, gives the copied file a name starting with ~ and that is the file you work on. Do a disk wide search for all files that start with ~ and you might just get lucky.