Checked Out file is not appearing inside “SharePoint Drafts” folder ?

Hello,

I have SPS 2010 intranet site that has 1200+ users, and so many document libraries and folders. Concisely and precisely, my problem is that users have reported to me that when they Check Out a file, they cannot find it on their local hard drive. As far as I know, In SharePoint the file is stored by default on the hard disk in a drafts folder that is in my My Documents folder, But the problem is that even after checking the settings and putting the proper path in MS Word settings:

Word 2007: 

Word 2007 > Word options > Save > Server Drafts location. 

Word 2010:

Word 2010 > File > Options > Save > Server Drafts location.

The users have noticed that folder of “SharePoint Drafts” is created automatically to “My Documents”. However, When they Check Out a file, it still doesn’t appear in the folder at all.

I instructed users to see (http://www.youtube.com/watch?v=RRE-i7MZdqk), But strangely,  SharePoint did not ask them whether they wanted to check it out to a local folder, I mean the dialog didn't show up at all.

Could you please help me out to resolve this issue ? Because users really wants to have the checked out file on their local hard drive.