i searched my hole hdd for the files, found nothing. the only AV software i am running is avg. i also have ad-aware and spybot running but i have turned all three off while trying to download.
*edit*
i just tried to download a zip file from my windows live sky drive and the download window just closed. no 100%, 5%, nothing. i even had the check box set to not close on completion. i now suspect some sort of malware. i'll do a scan later and report back. and if all fails, repair windows