What do you mean by; "recorded a movie"?
If you mean Export, then it will be saved to the location set in the save dialogue box:
Navigate through the export function and see what location is selected.
It's curious: I was selecting File > Record Slideshow. And there was no such dialogue box. But now that you suggest that I Export the movie, sure enough! I select File > Export > QuickTime. And behold ... the location dialogue box.
Thanks for setting me straight!