If I were you, I would scan for viruses or malware first & then follow Jokermans advice. The behavior you describe is typical of software downloaded from a website that offers well known free software packed with malware, viruses or adware.
I could be wrong, but its worth scanning just incase, The 7 Zip program is available at the website Jokerman posted and is 1MB in size, which means even on the slowest internet connection, it should only take a few minutes to download.
Like you say it should be quick and self explanatory and it is, so you might have downloaded something nasty. Desktop icons that disappear when you click them are never a good thing, better to be safe than sorry!
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