The divx file could be saving as a hidden file. If this is the case, to show hidden files, go to Control Panel, depending on your operating system, you may have to view it in classic view. Go to Folder options, then click the view tab. There will be a list there and you will have to find the radio button that says, show hidden files and folders. click OK, and there you go. That is only if the files are hidden. Otherwise I cant help you much.
P.S. Those steps are for a Windows operating system.