common thing i think is happening. an error with new firefox some people are getting.
it scans downloads automatiucally, but sometimes its stupid and assumes all downloads are viruses, and deletes em.
in the firebox URL box, type about:config and enter that/go there. agree to the warning about voiding your software warranty, god forbid you ruin a free re-downloadable copy of firefox.
then scroll down all the settings till you find: browser.download.manager.scanWhenDone
it should be set to "true" you want to switch it to "false" to disable it
then try to redownload things, try to save them to your desktop.
this may or may not be the problem