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Hello Peter, not sure what program you are referring to but it should be in the default folder as set up for the browser in use.
From experience when I have had any file not downloaded it has been deleted by web security, in my case Norton, but a pop up occurs and I see this and respond within a couple of seconds can override the deletion. This mainly occurs if it considers it has been downloaded by too few users in their community.
my firewall will not allow this program to install
@PeterNovak as you posted in 3D printing I presume it is DSM. Have a look at https://designspark.zendesk.com/hc/en-us/articles/213291329-Connecting-on-workplace-networks- and see if you can whitelist the URL's in your firewall.