Some Captivate 3 users have faced a strange and unfortunate problem of .cp file suddenly disappearing after saving and closing the captivate. A possible reason for this has been analyzed and fixed in Captivate 4.
However for the Captivate 3 users I can suggest a possible workaround to recover the project. If this problem happens, immediately look for a .tmp file (after closing Captivate) in the same folder where your .cp file was supposed to be. If you are able to find this then you are lucky – Rename this file to .cp and you can continue working then on. You might also notice in certain cases, that this .tmp file is much larger size than the original .cp file. This is but nothing to worry – next save on the renamed file will reduce this size back to normal.