When I download drivers or any other files, it downloads until it is complete. When I go to the download folder there is nothing! I also cannot click on the downloaded file's name in the download list in Firefox to open it. I first thought that it was a Firefox 3.6 problem, but it does the same with IE 8!
Make sure that the files you have downloaded don't contain viruses , it may that your firewall or anti virus software is detecting them as harmful files and deleting them. Download only from official sources.
Finally , it's worth giving Google Chrome a try , its a lightweight and effective browser.