Assassin´s Creed III
It shouldn't be deleting itself, that itself is not normal behaviour for a file.
As Pwizard said if your AV is still running in the background but disabled, some of the services are still running.
All it needs is an excluded folder to put your trainer/s so they are not scanned for in the future.
If that still makes the file delete itself, then you have a serious issue with your PC.
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