Haakon, The download should work the first time. And I would like to hear about it if you need to try 3 times before the download works.
What you are describing though does not look like a download problem at all, but rather that your anti-virus is deleting/locking the file while scanning it - after it has been downloaded ok.
Unfortunately, Anti-Virus systems are the blight of low volume software. I think the logic is something like: "Oh... never seen this .exe before... hmm...must be a virus".