If you can't actually see them in Windows Explorer (assuming they're not hidden file - in which case use Tools | Folder Options | View | SHow Hidden files) then they're not there. My guess would be Premiere is using some sort of alias rather than the file names.
This is one of my gripes about "user friendly" software. You never seem to know exactly where things reside or what's going on "under the bonnet". Which is all well and dandy unless you actually CARE about such things as maintenance, running out of disk space and not slowing your computer to the speed of a slug.