xp sp3 removing .exe from setup.exe

[BoscoBilly]

Hi.

My app is sold inet only so the setup file, setup.exe, is downloaded to the users'
computer via the link I send them.
With some users on Vista and XP sp3, the EXE extent of my setup.exe file is removed by the OS or the AV or the firewall, I don't know which.
With some users, they can save the file and add the .exe; with others, there is no such option to save under a different name, it will simply save to desktop as setup, no extent.
Then, a windows office icon is created which, when dbl-clicked, gives Unknown File Type and asks user to select app to open it.
I have the same problem with my demo file, demosetup.exe.

How can I create a demo/setup exe file that will work properly on these pesky OS's?
Thanks.