When you receive an e-mail attachment from a co-worker, do you ever open it, make a change and then just his Save (rather than Save As...)? I do all the time. So the question is... where does it actually save that file?

Next time you do this, try looking in the following directory:

~/Library/Mail Downloads/

Note that the "~" will be replaced with your account name. So in my case, it would be kevin/Library/Mail Downloads.