Documents opened from E-mail are usually saved in a TemporaryInternetFiles folder in C:\Documents and Settings\<user name>\Local Settings\Temporary Internet Files
If C: is the drive with XP on it.
Go to C:\Documents and Settings\
then Right click on your user name and then try a search for *.rtf or the full name if you know it.
Make sure that the More advanced options have the hidden and system files and folders checked and Search subfolders is checked.
Where it is stored exactly will likely depend on the e-mail program you are using.
When opening an attachment use Save As when done, to save it to a more suitable location.