Guessing that you are using firefox, because this problem has been seen earlier also in firefox.
Disable the auto scan in firefox. To do this you have to type in "about:config" in the address bar then click the I'll be safe or something button, then type in "browser.download.manager.scanWhenDone" in the filter bar near the top one option should show up that says true under the value double click it and it should then say false and also all the text should go bold.
Hope this helps.
I wonder if somebody could help. Ive recently installed Avast Internet Security v 5.0.462 in place of AVG. It seems to be working fine however, all of a sudden, I'm unable to download .exe files. Well I say cant download, it does but the file doesnt appear in the download location. It simply appears to vanish. Thats obviously when I save the file, if I choose to run the file, nothing happens! Im running windows Vista 32bit and Firefox internet....Any idea's?