you click on the exe file and the exe disappears? I don't know...maybe your antivirus quarantines it? at least it sounds like that
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sorry, but no. i do not know what antivirus you are using and if you are not experienced with your computer you can cause some serious damage by turning off your antivirus or firewall! You can google it if you want but I would advise that you get to know the basics of the antivirus program that you are using first.