OK - It sounds as if you are looking in the right sort of place. If it is going to be anywhere, it will be in the 'Received Files' folder you think it has vanished from, which is inside your 'My Documents' folder.
Here are some possibilities:
1. It is not really a .wmp file. Sometimes, especially if you have your PC set up to hide extensions, files can look like one thing, when in fact they are something else. A file called
donkeypron.wmp.exe will look as if it is called
donkeypron.wmp. When you try to open it, instead of seeing nice pictures of fluffy animals, you suddenly find you have installed something not very useful. if you are searching using 'search for pictures, music or video' the file won't show up because it isn't any of those. Try searching via 'All files and folders', or go to and open the folder, change the folder view to show the files in date order and have a look at the last few that have arrived to find suitable candidates. If you do this, you should adjust your settings to show extensions, so you know what it is you are looking at. But seriously, you don't want to be opening it. You should delete it.
2. AVG has indeed locked it away. I think this is unlikely. As I understand it, AVG only reacts to files as they are opened or scanned. It doesn't just virus-vault dodgy files. It isn't
that good. But you could check. Here are some instructions for checking the virus vault
here - read the last article on the page, #647.
3. You only got part of the file, or it was damaged in some way. If this is the case, it is stored somewhere else in a temporary folder, and even if you could find it, it probably wouldn't open.
4. You have the name of the file slightly wrong. It isn't
donkeypron.wmp, but
monkeyporn.wmp (I know, it sounds unlikely, but it
can happen). If you have a look in the folder with the files organised by date order, you might see it.
5. If you find it, and Windows won't open it, telling you 'Security: This file came from another computer and might be blocked to help protect this computer'. You needn't panic. This is a dumb message that doesn't mean you are actually dealing with a virus. It does that with all sorts of innocent files as well.
Last advice. Make sure your anti-virus is completely up to date. There is still a possibility this is a virus of some sort. If you do find it, I'd suggest you force a manual scan before you try to open it. Right click and scan the file using AVG. Trust no-one. Especially on MSN.