Did you try looking in the audio folders of other projects. I'll guarantee you that's where they are. 
 
If not hopefully you are in the habit of naming tracks. That helps too. 
 
The audio file will be named the same as the CWP file plus what ever you named the track. 
 
 
CWP- Shook up
Audio folder   Shook up , Bass , rec (12).wav
                    Shook up , Guitar , rec (345).wav
 
As John is saying Windows won't look very hard. If I search for Shook up in Cortina nothing happens. But if I open my Data drive and use the search box in the upper right it gives me 2 pages of files under that name including the audio data.