Files disappear after download (.exe, .msi, .zip, etc...)

Today, my Windows 7 system stopped allowing me to SAVE .EXE and .MSI files to my hard drive. It appears that I am able to download the complete files, however as soon as it completed the download, the files disappears from my hard drive.
This happens with both IE and Firefox, with Windows firewall on and off.

I was attempting to re-install FREE AVG, however I cannot save the install file. So I then tried to save the beta version of ESET, and I cannot save the .MSI file.

Again, as soon as the download is complete, the files disappear from the hard drive.

I have tried unsuccessfully to download .EXE, .ZIP, .MSI file types…

Any help would be greatly appreciated!


**** 02/27/2009 UPDATE ****

The Free AVG uninstall did not remove everything and there were references to AVG over the OS. The thing that gave me a clue, was while installing ESET, a dialog box during the install, told me that AVG was still installed. This was true, since after the AVG uninstall, there were two services still installed.

After much research, I deleted all AVG related files from the hard drive and registry, which there were a lot, go figure.

After deleting all references to AVG and another reboot, I was able save files again.
I then downloaded and installed ESET Beta without any issues…

Eric