My guess would be that you have an overzealous anti-virus program running that's whisking these files away to the quarantine zone it sets up.
But have you tried overriding the default download location and tried saving to another one? Just to see if the behavior is repeated.
I am running Windows Vista on a Dell Inspirion that I bought in June 08. Everything worked fine on my computer up until about 2 weeks ago. I didn't change anything, add any new programs, nothing like that that would explain why I'm having issues now. I have Mozilla Firefox and IE7 installed on my computer. The problem is, I try to download something, even save a picture, and as soon as the download is done, it disappears from the folder I downloaded it to, and can't be found anywhere on the computer. In both Firefox and IE I have it set up so that files get downloaded to My Documents. This problem started out of nowhere and for no apparent reason. I thought maybe the issue was in Firefox, so I tried downloading something in IE and I run into the same problem in IE. I even tried reinstalling Firefox and IE to see if that would fix the problem, but it didn't. Please advise on what I can do, Thank you!