When working with ArcGIS, it helps to have a few tweaks applied to your Windows environment.
You should only have to do these once.
Add an ArcCatalog shortcut to your Taskbar or Start menu:
You can now click on this shortcut to start ArcCatalog, instead of drilling down into nested menus.
NOTE: We're not going to worry about creating an ArcMap shortcut, since we'll always start ArcMap by opening (double-clicking on) a map document.
You should already have a Windows Explorer shortcut on your Taskbar. (If you don't, then using the same procedure you used to create an ArcCatalog shortcut, create a shortcut to Start→All Programs→Accessories→Windows Explorer.)
Configure Windows Explorer so it shows you full filenames (including extensions) and the complete folder hierarchy:
To make sure you'll notice when you have multiple ArcGIS map documents open simultaneously (so you can close all but one of them—having more than one map document open is almost always a bad idea):