Hey there.
When you click download, the box that comes up should have the bullet option to either "Run", or "Save as". If you are clicking OK when "Run" is checked, this is probably your problem. Try doing this, but with "Save as" checked, and save to your desktop. You may actually just be downloading to some random folder.
What browser are you using? I recommend firefox. It's faster and more secure than internet explorer. It's free if you would like to try it. Let me know if this works.
