Generally first stop is going to be "Recycle Bin" click on this and find your file.If it's not there, your going to need a third party peice of software like "lost and Found" which if it's still available could find things after even after a disk had been *fdisk'd and *format'd
If your using dos or an old version of window then go to a dos wndow (comand prompt) and use the undelete command.

* if you don't know what your doing never use Fdisk or Format.