Windows 7 sometimes puts variable files in a different folder, regardless of what the application normally does on XP. Do a search on your whole machine for that file name, it should show up in some out of the way application data folder. It also may be a hidden folder so make sure they are enabled. If you use a trader you will notice the bazaar log also can be in this other folder. I have 1 Windows 7 machine that does this, and one that doesn't. Not sure what setting it is, or if I even changed it. But there is how to possibly find it.
Even though I like Windows 7 better than Vista, I still don't particularly care for this behavior, it is very Vista-ish, by moving things and hiding them. Note I still run XP on 1/2 my machines.