Actually, you are right - when using Mail, it should go to Mail>downloads. I am using Entourage and it goes to the MS user data folder where it is safely kept.
And the troubling news for the OP is that the temp folder in /private/var must be invisible, right?
Alex
3.1 GHz 13" MacBook Pro 2015, 8 GB RAM, OS 10.11.2, Office 2011, TimeWarner Cable
2.8 GHz Xeon Mac Pro 2010, 16 GB RAM, OS 10.11.2, Office 2011, LAN
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