It may have stored it in a special invisible folder in your Temporary Internet Files folder. One way would be to simply open the attachment again, or any other attachment. When inside the appropriate application (e.g. Excel if it was a spreadsheet), select File/Save As, you can then use the dialogue to see where it saves the document. In my case it was in a folder called OLKB or similar under the Temporary Internet Files folder. Yet, when you open that folder within Explorer, it appears to be not there, but if you append the special folder name to the address bar, as if by magic the files appear.
Worked for me, sorry if this isn't too clear, see how you get on.
Paul