I have a similar challenge. I have tried from various browsers, (IE, FF, Safari, Opera, Chrome) by hitting a "download" link (like from CNet / Downloads) where the link is not directly to a specific file. If a specific file then I can use a download manager, my favourite is Orbit, but it only works in IE. I wish it worked across all browsers, it is brilliant and works well for me. I love it. Gets a 10 out of 5!
I can see the download, like in Safari and FF. But when I click, it does not give me the open file/view folder, and when I look on the other browsers, I can see it downloading (example: *.exe.part) in the chosen folder, and when it is done, it vanishes. I have searched (in hidden files too) and the same is happening when it downloads to the cache/temporary folder. On FF, it will tell you that the file has been 'moved' but it is NOWHERE to be found. Grrrr, this has been going on for a long time, and is now driving me crazy enough to search for help. I am a computer company owner, and supposed to be a support specialist! HA!