Just been banging my head for the past hour. Finally figured it out.
I'm new to Media Encoder so I set a file to encode, it encodes, then never shows up where it was set up to save.
I'm on a Mac running Adobe Creative Suite 5.0. I always add a date to my file names (10/6/2011) but I guess that was messing up Encoder. I took it off, now it encodes fine. Haven't had that kind of issue since moving Mac files to a PC 13 years ago.
Just an FYI to those out there.