Vista - Windows Explorer and Microsoft Photo Editor

I have saved a number of jpeg files from a web site and I can see them in the
folder on my hard disk when I use Photo Editor, but most of them are not
visible when I open the same folder with Windows Explorer (nor when I look in
the same folder using all files in MS Word). Moreover, they do not appear to
have been moved when I used Explorer to copy the folder on to my back-up
disk.

I am using Vista and, when I saved them, I was asked if I wanted to make a
copy in the Temporary internet files folder. If I said yes, they weren't
saved in the folder that I wanted to place them in, and I had to find and
copy them across. So I started rejecting that option.

What's going wrong? How could I make all these files visible all the time?