Click on "File" and then at the bottom should be a list of the last few files opened/saved. See if it's in that list. If it is, open it and then immediately do a File - Save As.
Alternately, search for all files with that extension (are you using Movie Studio? Sounds like it from that extension as the full version of Vegas uses .VEG). Generally speaking, I believe you'll find them in the "Temporary" folder. The temporary files location is set by going to Options - Preference at the bottom of the first tab that opens.
Edward Troxel
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