Too little too late... Anyway, I hope it will help future users if they encounter this, here's how I solved it: I recently installed a new antivirus and the same problem suddenly happened to me (with Vista Home Premium 32Bit SP1): Download window showed files where saved, but they acutally didn't appear anywhere (except maybe for picture files and like) and zip files weren't really extracted, all of this first in my user and then in the original user, "Run" button in the download window didn't always work. I tried resetting Internet Explorer 7 and stuff, nothing worked. It was finally solved when I turned UAC off, despite the fact that my user is defined as administrator, here's where to do it:
Control Panel ->
User Accounts and Family Safety ->
User Accounts ->
Turn User Account Control on or off. Worked like charm.
Bonus: even my antivirus works better.
