I don't know why that is happening either. I could understand the .docx file
ending up in the Temporary Internet Files folder if you had downloaded it
from a web site. It shouldn't end up there when you're using Remote Desktop
Connection.
Since you're dealing with a .docx file, I'm guessing that you're using Word
2007. If that's the case, click on the Office orb in the top left corner of
the window. Click on the Word Options button at the bottom of the menu. In
Word Options, click on Save in the left hand column. See where files are
being saved.
As for your losing 4 days of work, that's why you should always keep backup
copies of any important files. If you had saved this file on a regular
basis, the most you would have lost is the work you'd done since the last
time you backed it up.
Here's a Microsoft article that you may find helpful.
How to recover a lost file in Word 2007 or in Word 2003
http://support.microsoft.com/kb/827099
Since this discussion is going beyond my knowledge of Remote Desktop and
Word, you might want to post a new question in the windowsxp.work_remotely
newsgroup and/or a newsgroup dedicated to Microsoft Word.
Good luck
Nepatsfan