Your anti-virus is deleting the exe. treating it as a virus. Disable it while you download then go into your antivirus program and set the exe file as an exculded file. In McAfee its under PC security/Real time scanning. Not sure about other ones but they all should have a setting for excluded files. See if that works for you.

Thanks, but I turned off both the firewall and Windows Defender Real Time Protection and it still wouldn't download anything.