I am unable to download any games from Yahoo games.

I click on the link to download the game. The box shows that it is
downloading. When it is finished I cannot find the game anywhere on my
computer. The automatic set-up also does not start like it should to install
the game on my computer. I checked in the temp file folder and searched for
the game name.

This happens on every game that I try to download from Yahoo. I went to Java
to make sure that I have the most updated version, and I do. Any ideas?
Thanks! :)