Downloads disappear on Vista (business)

ok. i have looked and looked and NOONE can seem to answer this question. I watched an adobe reader download go right to my desktop then disappear. NO it is not in the download folder. YES I did a search on the entire harddrive and it is not there. YES the download did complete. It really does not matter what I download and to what folder I download. IT DISAPPEARS. Does ANYONE know why this happens?

Interesting thing, just for giggles I install FIREFOX and guess what the download is fine. It does not disappear. Now please don’t post. “then just use firefox to download” That is a workaround not a solution. So it seems that IE7 may be the issue? Any thoughts or a solution to this problem?