disappearing downloads

I have a problem with disappearing downloads.
I was sent some family photographs from the US as an attachment to an email, ie they were private and not copyright. I chose the folder to download to and my machine went through the motions of downloading, and download manager showed a progress bar. But afterwards I was unable to find the photographs either in my designated folder or anywhere else, using a couple of search engines without success. There is the same problem with commercially produced pictures and with program downloads. Downloaded items seem to disappear into a void.
Can anybody suggest a remedy?
I have Vista Home Premium, SP2 on HP Pavilion dv6500 Notebook, which has 15.4GB free disc space.

Gloriana

If
Download and try recuva.
Recuva - Undelete, Unerase, File and Disk Recovery - Free Download
There is the possiblity that they were not actually downloaded. If that is the case, we should try and find the cause. Maybe the firewall or antivirus. This will not bring the pics back, however.

I received your message that the problem persists. I thank you for the information. In the future, please post all comments here, to ensure that they will not be missed.

Try a different browser. If using IE, try with Firefox.

Also try in clean boot mode.
How to troubleshoot a problem by performing a clean boot in Windows Vista or in Windows 7