You specify the destination of your files during the save process.
But it did not asked me when I was saving.
Can you save a file and post a screenshot of the dialog box that comes up?
Do not waste your time looking have you computer look for you. Both Finder and Windows file explorer can search for new files or files with you document names.
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In the 2017 release for PC (I assume it probably does it for MAC, too), you can hover over the thumbnail of your recent file. Photoshop will show you the path in a tooltip.
At the top of the image in Photoshop you'll see it has a file name. If you saved / closed the image already, try looking in Photoshop's file / open recent dialog for it.
Once you have the filename you can search for that file by name on your computer.
When saving a file for the first time, the destination folder is shown and you can change the destination right there.
But, next time you save, the new version just replaces the originally saved one - right there in the originally set folder.
Can you find it in a search?
I hope this helps
if so, please do mark my reply as "helpful" and if you're OK now, please mark it as "correct answer" so others who have similar issues can see the solution
neil barstow, colourmanagement.net