WLM and Windows file protection

I am using WLM 8.0 and I received a MP3 file from other party. When I double
clicked on the link in conversation window, the message said "Windows
blocked access to this file...". When I searched for the file with Windows
Explorer, the file was not there?!?! (I copy-pasted the link from WLM). I
downloaded Jonathan's EXE for allowing file types, but it seems that the
downloaded file is no longer on my HD (I searched for it too with windows
search (F3)). How can that be?


.

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