Rule 18.3a deals with "provisional ball" and it is undoubtedly one of the most useful Rules in the book.
If you play a shot from anywhere on the course and believe it may be lost somewhere else on the course (not in a penalty area,) or be out of bounds you may (and indeed should) play another ball provisionally under penalty of stroke and distance. So, if you believe you have lost a ball from the tee, your provisional ball will be your third shot. If you believe your ball has gone in a penalty area, you should proceed under Rule 17.
