how long you been using maya?? i dont mean that in any condesending way, just curious. you might find the files/AVI in your 'images' folder, where they came from (at a guess) or do a search (start/search/...) and look for the name of the files/AVI, or at least the extention. i dont think your desktop is the best place for, i would assume your AVI ; i'd make a folder in 'my documents' or on the hard drive, but you might have your own reasons.

your question, when it asks if you want to save, or you 'save as' it is YOU who determines where the file goes, you know how to do this??

under where you put the name of your new AVI you can use that to navigate to wjere ever you want it to be saved to.