saving audio files from text messages?

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http://forums.androidcentral.com – does anyone know how to do this? Ive tried everything i can think of and I can't find the audio file saved anywhere on my phone, only in the original text message it was sent in.. Also, where are all of my files? I download things to the phone and then can't find them...not in the file folders. Thanx for input! (HowTos)