Can't find a previusly saved .obj I can't find my model. I don't know if it's Blender or where I'm saving it or if it's just what I'm trying to save.

I've been wanting to make some tweaks on a ROBLOX model for a while now, But the thing is whenever I save it as an OBJ. I can never find it in Blender, yet when I open my files (not in Blender)  It's there. 

I'm new to Blender so it's probably obvious what I'm doing wrong anyways lol
You want to import .obj and you opening .blend
Go to file -> import -> Wavefront (obj)