How do I retrieve a lost file?

How do I retrieve a lost file when you can?t find it under search & it was not deleted or sent to recycle bin? I have a Pent. IV with Windows XP professional, this is what happened while I was downloading something (not thinking) I used the ?drag & drop? feature just like always to move a personal clipart file from My Documents in C: drive and dropped it into my open window for D: drive (note: they are not two separate drives they are one together), at that moment everything paused & the file disappeared before I was able to let go of the mouse button. I tried doing a search for the file even in hidden files & I also did a system restore. I cannot find this file anywhere can someone help me?