After downloading, item disappears

Hello,
I am having a similar problem -- I download something from the internet, the prompts all come up, time elapses showing the item is being downloaded, and then it disappears. I have tried saving to various areas, but nothing happens. I do not have AVG and this problem has been happening since I got my computer. Yes, I do have Vista. I cannot download Firefox because I cannot download anything off the internet. Any suggestions? Thanks.