If you have some idea of the file name, search all drives by that or use wildcards for parts you don't remember abc*.doc, *.htm, *movie.mpg, a*.*
This sort of thing is not rare. As you drag a file over other folders, one folder may expand at the very moment you drop it and it ends up in that tree. If you take a look at the folders near the memory stick it may be in one of those.