Problem with MS Outlook & Word

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My friend sent me an important documents in Word format to me through Outlook Express.I opened the documents in mail & made some modifications in the document.After completing my work, I clicked the "Save" option.But when I later again opened the mail & then opened the Word Document,I found that the modifications I made was no saved ! I then checked "My Document" folder as it's the default folder for saving Word files,but I didn't find any file with that name. Now I wonder where the document was saved ! I can again make the modifications in the document (though it's alengthy work) but I really want to know where the document was saved.