My OS is XP-x64.
The Firefox version I am on is 14.0.1 (July 2012, "FunnelCake").
The "C: \Documents and Setting\Downloads\" is the folder I used to try downloading the same file to via 2 different methods.
1) When this folder is set as the permanent download location, it works.
2) When I use the "Always ask me where.." download setting, and I select the same folder, the Firefox window completely disappears without any message at all !
I get the same result with (2) even if I already turned my VirusScan software off.
This same behavior persists after completely uninstalling and re-installing Firefox.
You can try to right-click and Reset the browser.download.lastDir key in about:config.