Vista - Game Download Problem

If somebody could please help that would be great. I have had my HP for a
few months w/ Vista. We download the free game trials (in search of the one
good enough to buy) from Yahoo, MSN, Playfirst, etc. However, the last few
days when we try to download from the site, it goes as normal, and with no
error messages. However, once it finishes downloading from said site, it
just goes away, I can't find the install anywhere on the computer and it
doesn't automatically come up with the install wizard, like it used to. If
anybody has any ideas that would be great.