Lost file when moving it to a "All My Files" Finder window
The file most assuredly ended up in your home directory somewhere.  I was able to replicate your problem and the file I dropped there ended up in my Documents directory.  

If you don't see it in Documents, try searching for the file by name with Spotlight. Lastly, if that doesn't work, try issuing the following command in Terminal.app:

find $HOME -name "filename"