How do you have the Pagefile configured?
I think a small dump requires at least 200 MB, and the full dump requires 1GB for the Pagefile.
Also, the file may be a hidden file, and it's there but you can't see it.
I'm configured to see ALL files, but i don't have any dump files to verify the settings and seeing it...
The dump file may also be an Admin file and you can't see it from a Standard account.
How do you log in - as Admin or Standard (Limited) user?
Also, if you run any file clean up such as Ccleaner that might have deleted the dump file(s).