Go to the Tools/Options/Save tab to see if the prompt

to save Normal is checked. This brings up the message when you quit Word. If the box is checked, an add-in could be interfering with your changes. If the box is not checked, Word should automatically save your changes.

You can save all changes to your normal.dot without closing Word by holding down on the Shift key when you click the File button. You will then see the option to Save All.

You can do a search for the normal.dot file like any other file. You may have to check the box to search hidden files and folders.