Use Spotlight Search. You can try to remember the name of the document, or a text string within the document.
Here's how to use Spotlight:
You might also try one of these applications. EasyFind is free, FindAnyFile costs a few bucks. They're both great.
Word is seeing a broken alias to the file. It's not seeing the file itself.
If EasyFind couldn't find it, it's not there (as long as you entered the correct name or other parameters for the search).
Do you have a recent backup, via Time Machine or some other method, from which you could pull a recent version of that file?