You which folder did you save this file?

Did you made sure to add the.html file extension?

Note that Windows hides some file extensions by default.
Among them are .html and .ini and .js and .txt, so you may only see the Bookmarks name without file extension.
You can see the real file type (file extension) in the properties of the file via the right-click context menu in Windows Explorer.

If the file isn't in that saved location then your anti-virus software might have removed the file.

I created a new directory and saved file to it. I tried as you suggested and added .HTML( had thought it would do this automatically). I still did not see it. My antivirus is Microsoft security software. It must be removing it. Thanks anyways.

Try to boot the computer in Windows Safe Mode with network support (press F8 on the boot screen) as a test to see if this helps to create this HTML backup. You can also try to save the file to a different folder (e.g. the Desktop)

Could you also try creating a file in the backup (.json) format? There was a bug going around that led to empty backups when the backup generator encountered something it couldn't handle in the bookmarks database. Creating this backup file and seeing whether it is larger than zero and has your bookmarks would help in diagnosing whether this bug is affecting you.

This article describes how to use the backup feature (please do not attempt the restore part at this time, since restoring an empty file will wipe out your bookmarks): Restore bookmarks from backup or move them to another computer.

Edit #1: Here's a link to one of the earlier threads: Manual backup of bookmark json file is empty, export of bookmark html file "self-deletes"

Edit #2: This bug should be fixed in Firefox 29, which currently is Firefox beta.