Whenever I download the Windows Server .exe file and I open my Downloads folder, the file deletes itself for no reason.

Whenever I download the Windows Server .exe file and I open my Downloads folder, the file deletes itself for no reason. It has done this multiple times after re-downloading it and it does not appear in my Recycle Bin. I was on my server with my friend last night and nothing like this happened. Thanks for your support and hard work in advance!