Windows 7 – Where Does Internet Explorer Keep Opened Downloaded Files?

I think it should be in: C:\Documents and Settings\USER_NAME\Temporary Internet Files\IE_VERSION then one of the bunch of random names, but I'm on Windows 7 so I can't verify that.

EDIT: The easiest way would be you go to Word and pick the Office Button go over Open and to the right, pick it there then just pick Save As. It'll show in it's current directory, and you can just save it somewhere else then and there.

Have you got any antivirus software running that could be hooking into Outlook or the file system? I often see this with McAfee or other intrusive A/V applications where they inexplicably lock files while they're scanning (and often don't relinquish the lock afterward).