Try saving the download to your desktop and not putting in any folder. See what happens. I save all my downloads to the desktop. It makes it much easier to find and work with.
When I download software from the site the process appears to work correctly (I get the Save or Run box then the progressive download taper) but when the download completes, the file momentarily appears in the selected folder then disappears! I've switched off the XP Home firewall but no difference. I have Download.com in my Trusted Sites list. It makes no difference whether I try to Save or Run- in Save- the file disappears, in Run- nothing happens. I've tried the 'alternative download sites' option- exactly the same results. Any advice please