I saved couple of important files from my windows computer to USB Ubuntu while Ubuntu was running. But on restarting the USB Ubuntu I am unable to locate those files. is it normal that it is erased? or is there any way i have get it back? I created a .New folder within documents and placed the files in that folder. but once i shut down Ubuntu and opened again those files are nowhere.. please help
Any changes made after booting with an Ubuntu live USB (including files/folders created) are usually erased when you shutdown, unless you made the live USB persistent when you created it. That means that a file is created on the USB where the changes are stored. Persistence is usually not done by default - only if you request it when you create the USB.
If you want to make the USB persistent then you'll need to create it again from scratch and make a persistent file. I believe PenDriveLinux's program and Ubuntu's own live USB creator can make it persistent.
(technically, I don't think the files are actually wiped when you shut down - I believe they only exist in RAM and aren't copied to the USB)