File deleted after download

[#1]

I have a queer problem - whenever I download a file through IE or Firefox, it gets downloaded in part and after the download is completed, the file gets deleted from the hard disk. However if I open the file eg. say a PDF file in Acrobat Reader and chose the Save As option, it gets saved properly in the same target location.
I am using Windows Vista Home Premium edition SP2.
Has anyone experienced a similar problem / does anyone know how to solve this?

[#2]

Welcome to the forum,i think your experiencing what i was with windows 7,after you download it go to your downloads in firefox browser and open the downloaded file from there,or download as exe. save file to target location then once its downloaded go and extract it or open it from where ever you set your target location.

[#3]

Thanks Steve, the file of proper size if shown within the download window of Firefox, if I right click on the supposedly downloaded file, I find the 'Open' & 'Open Containing Folder' options disabled. There is no file downloaded in the target location either(probably thats why).
For large files, I find the file getting downloaded in part and after the download is finished, the file gets reinitialized to size 0. Strange!

[#4]

You can set your preferred download location in Firefox.
I am mostly using Desktop. 

[#5]

Tried that too, but to avail