Nor had I till I tried it as I never use unbound object frames.
I clicked on the object in design view, clicked Edit to open it in Word.
Next I clicked Save As ... Browse
For info, creating a new Word doc, it was in the folder:
C:\Users\YourUserName\AppData\Local\Microsoft\Windows\INetCache\Content.Word
Of course, if you created it from a file, it would be wherever that file was