This article says how to show the file extensions in Windows
https://support.microsoft.com/en-us/windows/common-file-name-extensions-in-windows-da4a4430-8e76-89c...
Find your tax file in Windows
https://ttlc.intuit.com/community/tax-data-file/help/find-your-tax-data-file-tax-file-in-windows/00/...
Check for a One Drive folder. Microsoft is known for putting files in One Drive without your permission.
Some people have discovered their files were under their administrator username. They didn't remember that they had to log in with administrator privileges at some point when installing the desktop version, so they started their returns and saved them while using their admin user account. (In this case, people were returning and logging into their usual, non-admin user account, not realizing what happened and not finding their files under their primary "user".)
