You have played your shot but you cannot find your ball:
On the course - you have no choice but to go back to where you last played from and play again with a penalty of one stroke.
In a water hazard
You can drop within two club lengths of where the ball crossed into the hazard with a penalty of one stroke
You can drop as far back along as you like in line with the hole and where the ball crossed into the hazard with a penalty of one stroke