Cannot run .exes and they disappear into thin air

Remove the file avgoff2k.dll from this location :
"C:\Program Files\AVG\AVG(Version)\avgoff2k.dll"
for 64bit Operating System:
"C:\Program Files (x86)\AVG\AVG(Version)\avgoff2k.dll")
and check the download again.

I haven't got a file named "avgoff2k.dll", I ran a search and it didn't come up and I can't see it in the "C:\Program Files (x86)\AVG\AVG2012"

It looks like its a known issue with AVG(got the info from their forums), as I can see the zenith file is a ZIP file and once you extract it, it is getting removed. SO Disconnect from the Internet --> Remove AVG from Control panel --> Programs and features.
Restart the Computer --> Extract the file from the zip file and try to run it.

Alright, I'll update here in just a minute

As you've mentioned you are running two AV's AVG and Comodo, running more than one AV can cause a lot of problems and pave the way for infections to get in easily. Choose between one of those two.

Even after deleting AVG it still has the issue, perhaps it has something to do with running Comodo?
Now that I've gotten rid of AVG I've only got the one, decision was made for me.

Is Comodo a Free version or a purchased product?

Free version, as was AVG

As both are free versions, you can install them back again from the Internet.

Create a New Administrator account and check the Download once again.

Let me confirm one more time: The zineth.zip is downloaded without issues and it is not getting removed. Once you extract the .exe inside it --> that file is getting removed, correct?

I wasn't worried about getting them back, was just saying I'm not really worried about making a choice I'll stick with Comodo.

The problem isn't during the extraction, I extract the file and one I try running the .exe the file activates for around 2 seconds before stopping running, and then being removed.