I had the same "disappearing file" problem. It sucks that there is no working DV->EU3 converter except for Yvesps, but that works only up to IN. Why doesn't Paradox develop its own converters? I think that it it would be a boon to sales of CK, EU3, Victoria and HOI if people could continue from one game into another, go 900 years. Just my 2 cents.
Too much time and effort, not enough ROI.