I'll chuck my red-herrings into the pot:
Repeat the process, but check carefully the path... mebbe it went to somewhere obscure, like /tmp/....
Repeat the process, but this time let it write to a USB stick, or other directory that you know works.
.. Mebbe, somehow, CHIRP doesn't have rights to write to the disc, or specific directory ?
Have you tried locating it using the search facility in windows explorer?
I think Windows can hide certain filetypes?? /mebbe/ it's hiding the contents in that directory - or CSVs anyway.