Unfortunately I haven't seen anybody else with this same problem before...
Its possible that an anti-virus application may be trying to detect it as a virus if I had to make a guess on why your computer is automatically deleting files. I don't know if this will work but if you try using WinWar you should able to just open up the zip and run the exe without extracting it.
I hope that fixes it, sorry I'm not the best at solving tech problems like this!