Don't panic! In fact Word (and other Microsoft Office applications) periodically saves your work for you, even if you've not saved and named your file. This article explains how you can recover your document and breath easily again.
In Word click File | Open
At the bottom of the Recent Documents list, click Recover Unsaved Documents
By default all unsaved documents (.asd) can be found here:
Word will show you this folder location:
You can select a file you wish to recover and click Open
NOTE: The above example was with Word 2013 but other versions from 2010 onward should work fine. Also, the above will work for other Office applications such as Excel and PowerPoint.
You can control how the Word auto-save function works. Click File | Options | Save
In the top part of the screen you can set the AutoRecover frequency, by default it is every 10 minutes. If you are a cautious person, perhaps change this to every 5 minutes.
You'll also notice in the above Options screen that the path to the AutoRecover file is shown. You can change this if you wish but I recommend you leave it as it is.
Other File Recovery Solutions
There are many other situations where files may be deleted accidentally or where your hard disk might die, etc. I've written some other articles that may help you:
If you delete a file but you can't recover it from the Recycle Bin, there still might be a chance you can find a shadow copy in System Protection:
A general article about backing up your files on a Windows computer:
Also take a look at Recuva - this is a free tool for un-deleting files, it's worth a try:
It's a scary moment when you realise you've lost your work but modern software has a few safeguards that can help you out. However, please try not to rely to heavily on the computer to do this for you. It's still much better to click save or even Save As (make multiple copies) just to be sure all will be well. I also cannot stress enough how important backups are. Even copying a file to a USB flash drive or to the cloud (Google Drive, OneDrive, etc) should be part of your usual workflow. Don't take chances. But if all else fails Word does have your back!
You are responsible for your files and how you use your computer. If the above steps do not help you, I am sorry but there's nothing I can do. My article here is just to assist you, to provide some information. I cannot be held responsible for any loss of files, always backup and take care!