This drove me crazy and I am so glad I came across a solution. You look for something on your computer using Spotlight and it pops right up. In Lion you can even rest the cursor over the Spotlight item and see a picture of it.
Fine and dandy. But where is it?? If you don’t know where you saved it, chances are you will drag it from Spotlight to your desktop so you can get your work done and now you have two copies taking up space.
Here is the secret to finding where you saved it (either accidentally or on purpose as the case may be). When the preview picture appears hold down the Option Key and the Command Key for a few seconds and the file’s location will appear at the bottom of the preview pop-out. Lovely.