Disappearing files after extraction!

I think I had this before with another windows, I am sure it is something to do with windows security, admin rights, or antivirus.

When I double click a self extracting exe, in this case an "lp.cab" language pack, it extracts fine, but then it vanishes. If I am super quick, I can highlight it and drag a copy to another location where it stays as a copy, but the original file again vanishes.

Rather annoying.

Are you creating a folder first , and then saving it to that folder ?

Hi, no, Just double clicking it, its one of those windows type exe files with the long names like
fhsdjhfasidof643r64r646u538476rt34-en.exe
LOL
out pops an "lp.cab" directly, there is no option to extract "somewhere else"
then the lp.cab disappears
as I said, one time I was quick enough to grab and drag the file out to the desktop from inside the explorer window and that one stayed where it was.