Vista - Yahoo games

I try to download games from Yahoo. I will get the dialogue box but when it
is finished transfering the file it is suppose to go to an automatic set up
box so I can put the game onto my computer. This never comes us and when I
search for it on my computer, I can't find it anywhere. Is there something I
need to change to be able to download games from Yahoo? I had been
downloading games before and all of the sudden it just quit working.