When I receive an e-mail with an attachment, say in Excel or Word, I make changes and then hit "Save". When I then re-open the document or file, the changes have disappeared. Where did they go?
When I receive an e-mail with an attachment, say in Excel or Word, I make changes and then hit "Save". When I then re-open the document or file, the changes have disappeared. Where did they go?

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To avoid data loss, it is best to save the document to a non-temporary folder first (by using Save Attachment or by using Save As in Word or Excel), and then do your work, and finally attach the document to your own reply or forward.
But, to answer your question: changes made to an attachment are not fully "saved" until you close the message and save the changes to the message itself. If it is a message within a message, you need to save the message and its container message. If you skip any save, or if Outlook fails to prompt you to save, then all changes to the message and its attachments will be discarded. This is why I started with the above recommendation! (That, and, it's hard to show what people sent you if you changed what they sent you.)
You can check here for those "temporary" documents, though I think Outlook technically should clean up this location when the application closes. I've found I occassionally still need to go here to clean up every once in awhile.
C:\Documents and Settings\[username]\Local Settings\Temporary Internet Files\Content.Outlook\[some folder name like fx09ys6]
If the file is not found in the above location, check and see where Internet Explorer is storing temporary internet files, then add Content.Outlook to that folder location in order to view that hidden system folder and access the folder(s) inside - this is where the attachments are stored when opened from an email message. You must be viewing hidden files and folders if you try to drill down to the location.