I was facing this weird probelm with Windows 7 Professional edition. Anything I downloaded from the Internet showed me that its getting downloaded but, it never got saved to the folder. This happened for all the type of files I tried to download.
I found the problem was AVG Anitvirus 8.5 version. This version looks like is not properly compatible with Windows 7. Also I was unable to remove it from the Add/Remove Programs as it was giving an error while uninstalling.
I downloaded the AVG Virus Removal tool AVG Antivirus and Security Software - Tools download
from my other PC onto my flash disk and uninstalled the AVG 8.5 version using the tool. After uninstalling 8.5 and reinstalling 9.0 everything seems to be working fine.
Enjoy Windows 7!!!