It shouldn't matter where you save the OBJ. You just have to know where you are saving it, so you can find it again.

When you say "it disappeared," do you mean you cannot find the exported OBJ file on your hard drive? Or do you mean you can't see it when you import it into Wings?

If it's the latter, you're probably just not zoomed in enough. Poser uses a scale that's very tiny compared to most 3D programs. So when you import a Poser object into another program, it's often so tiny it's barely visible.