It deletes the files and then it deletes itself. The first step is to set up a download folder on your computer so that it is easy to find the downloaded files at a later time. Click on My Computer, then highlight the C drive. Click on File, New and then Folder. Rename the folder Download.
Some people like to place downloaded files on their desktop.
This is not a good idea, the desktop should not have files on it, only shortcuts. An alternate way is to create an entire library to save your downloaded files. I have a 1 gig partition on my hard drive which is my software library. It has many subfolders containing all my hardware device drivers and install disks. Every file I download from the Internet gets downloaded to my download folder in the software library.