Transferred files from Windows XP on Parallels to Mac

I was transferring this large .avi file from Parallels to my Mac supposedly to my Documents folder. After everything transferred, I looked into the folder and it disappeared. I tried it a second time, and the same thing happened. What I did was open WinRAR on Parallels, and then on the program, I dragged the currently unzipped file to my folder destination and waited for the file to finish unzipping and transferring at the same time. It did show the green transfer symbol with the plus sign when I dragged it to my folder, but after that, well...

I even searched the entire hard drive for those two files and they never showed up. They took up a relatively considerable amount in my hard drive and I even looked on Parallels to see if they were in there.

 

Hello? Can I get any help here? Some support forum this is.