You may get the following:

For your computer’s security, this file was saved to your Temporary Internet Files folder. Do you want to open this folder? If you click Yes, the C:\Users\user_profile\AppData\Local\Microsoft\Windows\Temporary Internet Files\Virtualized folder opens, but the file you are saving isn’t there.

To solve this problem, perform the following steps:

1. Click Tools > Internet Options.

2. Click the Security tab, then click Trusted Sites, and click Sites.

3. Under Add this Web site to the zone type the URL that you want to save.

4. Click Add, click Close, and then click OK.

5. Under the Security tab, unchekc Enable Protected Mode (requires restarting Internet Explorer).

After you restart Internet Explorer 7, the problem should not occur again.