Ha!  I opened a 'new text' document on my desktop, and accepted the defaut name (which is, of course "New Text Document.txt") and entered in the text you mentioned.  Then when I tried to rename it, it told me the the filename already existed in that directory!  Lo and behold, it's already there!  I guess they didn't delete it, just moved it.
That'll teach me to have a severely cluttered desktop.
Thanks again, all!