I gave this suggestion to another post with a similar issue. It seems that Word/Excel generates a new file when it saves, then overwrites the old file... guess Explorer handles it as a "new" file and therefore it's bumped out!
Try this: Save the document(s) in your (My) Documents folder, then create a shortcut to it. (Send To > Desktop/create shortcut) Using the shortcut, it should stay in the same place, since the shortcut points to the file by name, and not necessarily tied to the exact file.
Let us know if that works...
