So, I see what the issue is. I download the game, unzip it, and when I open up the unzipped folder - or if I wait long enough without opening it anyways - the security on my laptop will say the Game Application is a malicious and delete it. I'm assuming the only work around for this is to remove or temporarily turn off the security on my computer - neither of which sounds very appealing to me for obvious reasons. It's weird, because it allows me to download ROMS, emulators, and even other ROM hacks, but this is the first time I've hit this issue.