When “Move Files” is enabled, Picard creates new folders for the saved files. By default, it creates a folder for an artist, and then puts folders for each of the artist’s albums inside. (Those settings are in the File Naming options under “Name files like this”.) The “destination directory” in File Naming options contains all the artist directories/folders. So, if Move Files was enabled when you saved your album before, look for folders named for the artist; that’s where you’ll find your files.
If you don’t want files to be moved at all, uncheck “Move Files” or “Move files when saving” (they both do the same thing). The “Rename Files” option is only for tracks.