Do you really ask where you saved a file ? There is a search function in Windows Explorer. Or you could repeat the procedure and check the file requester to which directory it points by default.
You say, you can see it from the Amiga side. Then you know the path relative to the mount point and can check WinUAE's hdd settings where the mount point is in the Windows file system. Both combined will show you the path to the file.
Perhaps you have saved the file without a name extension. When using "add hardfile", select "all files" instead of *.hdf or something.
With Amiga Forever the file should be in (from memory, so no guarantee) either C:\Program Files\Cloanto\Amiga Forever\Emulation\WinUAE or in C:\Documents & Settings\All Users\Amiga Files.
Bye,
Thomas