If your extension was eFiled - you should have received a confirmation e-mail from the IRS within 2 days of filing.
If you mailed your extension form - the IRS will not send a confirmation. If the extension was postmarked by midnight local time on April 15, 2008 - it is approved and accepted by the IRS automatically. Generally - a copy of your extension form is acceptable document of filing an extension. If you sent a check with the extension - your canceled check may serve as a confirmation that your extension form was received.
If you sent an extension to file state tax return - some states do send confirmation letter.
If you eFiled your extension - your provider may be able to get a copy of the form for you.
If you send your extension application by mail - you might keep a copy for yourself - if you can't locate the copy - you may visit the local IRS office and ask for a copy - http://www.irs.gov/localcontacts/article/0,,id=98284,00.html - there is no online extension status provided by the IRS.