First things first. If this file is really important, power down your computer and let a professional take care of it. Following this guide may prevent recovery by a professional.
1- Look in the folder you saved it in
This is an obvious step but just check where you saved the file and open it. See if the file is there.
2- Look in Recently Opened files
Most programs have a way to see your recently opened documents. Check in here and see if any of the recent documents or images are the ones you are looking for. This shows up in Microsoft Word when you open the program, and in other programs you may need to go to File > Open Recent. Not all prorams have this feature but a lot do.
3- Check Recycle Bin
This one may seem obvious but check your Trash or Recycle Bin. When you actually delete a file, it usually goes here before deletion. Most recycle bins are organized without folders, so just a bunch of files.
4- Search for your file
In Mac you can use Finder and its search feature to locate files, and in Windows you can use the built-in search or a more robust program like Everything by voidtools. Search for the file extension of your document (word files are .doc or .docx, Photoshop is .psd, etc). Then sort the files by Date Modified. You'll see your file near the top if it's there.
5- Search the area
Check the folders above, and some folders just below where you expected your file to be. It could have been dragged into one of the nearby folders.
Contingency
At this point you have done the basics, so if you haven't found it yet it is time to proceed with data recovery. Data recovery tools can recover files that have been deleted and even ones emptied from the recycle bin, or from a former copy of Windows. There are free or cheap data recovery tools for use at home, slightly more complex ones for local computer shops, and specialists that basically use magic wands or who knows. You pick based on budget and how important the data is.
