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!