However, when I use Windows Explorer to browse to my C:\ folder, I can't see this file. What happened?
A - In Windows 7 and beyond, there's a feature called "File Virtualization." In essence, the OS does not want you to write to the C:\ root, Program Files or Windows folders, but it will let you think it writes there. It actually redirects the action to a Virtual Store under the AppData store in your User folder. This is for compatibility purposes.
If you browse to your C:\ folder and click on the "compatibility files" button, you will be redirected to the Virtual Store under the AppData store in your User folder. See examples below:
It is not a good practice to write to the C:\ root directory. Even though Windows lets you do it, you should change your configuration and write your NACHA file to a different folder that does not have Windows security complications.