Download Process Monitor 
(http://technet.microsoft.com/en-us/sysinternals/bb896645.aspx), and do the 
download again while running it.  You should be able to see where the file is 
being saved.  It might be in a different location that where you think it 
should be.

>The problem is not being able to run the file, the problem is that 
>although it downloads, it is not there.
>For instance, in FF, the download manager shows the file downloading and 
>it does the virus check, but it wont let me open the program. When I 
>look in the download directory, the file is not there at all. So I 
>opened the directory, downloaded a file, saw it there for a couple 
>seconds once the download was done, then it disappears. Same with IE. 
>Time to check the MS tech notes.
>
>Maureen wrote:
>> In the lower right hand corner of the run dialog is a dropdown to let
>> you select file type.  It's tripped me a couple of times when the file
>> I downloaded was something other than an .exe
>>
>>   
>> 

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