No--the file will be on the drive specified e.g D:/ --with the name that you have specified in the Add dialog box-(Image 3 in the file sent previously)-e.g Backup. Once you have found the file--burn it to the CD.
Do you backup to a "backup device" or to an individual file? A backup device will store several backups into one file and that could be a reason you can't see your recent backup.
What you can do is create a new folder called "Backups" and place it directly on your C: so it looks like "C:\Backups". Backup your database to this new folder. If there is no file in it after a successful backup try hitting F5 while you still have the folder opened to refresh Windows Explorer. If there is still no file and Enterprise Manager states that the backup was successful then I'm not sure what more can be done.