I just created an action and then saved it - closed PS. Then I searched my harddisk for it and did not find it. Reopened PS - it's still there. Which led me to believe that it's being stored in the default Actions file and not as a separate .atn. So I went to the Adobe forum and found this which confirmed it:
So that must mean that .atn files are only useful when importing new actions. Actually the thread was about someone trying to save an action to e-mail, the solution was to have only the action itself saved in a set to e-mail.
So try this:
Create a new action, then use the Save Actions command to save all your visible actions to a new action file. Then restart PS, Load the new set and see if it's still there. It's possible that for some strange reason your default set won't let you save new actions, maybe it's corrupted or write-protected. While not solving the problem it might be a workaround you could work with.
Warning: Don't click the Reset Actions command unless you want to lose all your custom actions. Make sure you save them in a set before you use reset.
Might also try asking about your problem in the Adobe Support Forums, there's some serious PS users there and the Adobe staff also respond:
http://www.adobe.com/support/forums/main.html
Let me know if this works,
Steve