Your Anti-Virus is set to auto-delete it as it thinks it is a virus (check your AV log to confirm this). You will have to do one of 3 things (in order from least extreme to most extreme):
1. Add the trainer to it's exception list. This usually works on well made AVs but not always the case nor all AVs have this option. Proceed to option 2 if this does not work
2. Disable the AV temporarily. This will prevent the AV from doing it's job and not deleting the trainer. You can resume the AV after playing. Sometimes an AV cannot be stopped even if disabled (example includes AVG). If that is the case, you have no choice but option 3
3. Completely uninstall your Anti-Virus. Yes it is extreme, but if the above 2 do not work, this is your only option. An Anti-Virus is seen as the computer's "last line of defense" in a secure computer. Keeping Windows as well as your installed programs up to date and not being stupid with a web browser and downloads are what keep a computer secure. If you still want an AV, Microsoft's Security Essentials is the AV that provides the least compatibility issues with CHU's trainers.