I believe you may be having a problem several other people had, a firewall or virus scanner is removing the file because it isn't from a well-known source and something in it seems strange. We don't know why some people's computers think it's unsafe, the game is really harmless, but to fix that you'll either have to turn off any scanners you have or find a way to tell those programs you trust the file.
Or there might have been a problem with download in the first place, sometimes things just go kind of weird and the file isn't able to then work right. So you could also try downloading it all again.
I hope you're able to have it work out!