The temp file thing is a good trick, MG... Sadly, newer versions of Word seem to be less forgiving.
And in XP, I've had that experience of stuff just flat DISAPPEARING.... every once in a while, they will reappear after a reboot.... but try looking for them FIRST in the temp files, like MG says... then try the reboot and see if Word 'autorecovers' the file.
If it is a letter I received in email, then opened it, changed it and it disappeared... then I can sometimes find it by reopening an attachment in an email and go to File Open and pull up the most recent file... sometimes, that is the one that I just edited.
Good luck!