LOL do you DL em from a server?
Probably that's what happens. Ut's kinda lame about that. All the maps you DL from a server are stored in a directory called cache in your UT folder. This dir is periodically cleaned.
Heres what you do....go into the folder and there will be a file called cache.ini and a whole bunch of files with long names looking like 7F9A09576.uxx
Open up the cache.ini file and you'll see that each of those files with wierd numbers coressponds to a map name or a file you dled.
eg.
599389C011D498B9400079BD99A04605=CTF-BollWerK105.unr
This means that the file with the name 59938... is actually CTF-Bollerwork. So all you need to do is rename the file in your cache folder and move it to your UT/maps dir and voila