The thing to do first is to go to the transfers screen and from there choose 'Open Incoming Files Folder' and then look through.. if you still dont see it there then you may want to do a search of your computer for the file name.
Be aware that if the file is mislabled its possible its listed in your folder as the real file name or something also.. so right click in the folder, choose arrange by.. Modified and see thats in there last..