If you are using Windows Vista/7 and using the folder under "C:\Program Files\Zend\Apache2\htdocs" as an eclipse project, *never* use "C:\Program Files\..." for your project folder. "Program Files" or "Program Files (x86)" is a special folder with system protection. You can manipulate files there but files created by eclipse.exe will not be located there. Look at C:\Users\your_account\AppData\Local\VirtualStore\Program Files\Zend\Apache2\htdocs. Maybe there are your files.
(mmm, too late to post this to newcomers forum...)
(this is exactly a newbie question so I don't reply any more. good luck)