I have this problem often when upgrading or installing the development environment for the first time on a machine. I download and launch the file. After I confirm the UAC window, nothing appears to happen for a while, and then the installation file disappears.
I have no idea what could be causing this.
I was able to determine this was a problem with our Enterprise Symantec quarantining the files without any sort of notification. So if anyone else stumbles upon this, check your anti-virus.
Please check the event viewer logs , you may get some clue fro what is causing this issue.