Microsoft Word file names changing to .~WRD[4 Digits] and then deleting themselves

NEVER save a Word document directly to any external drive. Catastrophic corruption of the document is a very likely consequence. ALWAYS move the document to the local drive and open it from that location to edit it and then save back to the local drive. After saving and closing the file, you can move it to the external drive if you want a copy of it on that drive.