JJSploit being deleted from desktop/downloads folder

I have tried disabling both antiviruses that I have, adding exclusions to both the desktop/downloads folder, starting the download on a different browser, applying the pending Windows update to my system, and resetting to defaults on my downloads folder. I have clicked on the JJsploit executable and was brought to a warning screen, I clicked "show more info" then "run anyway". The pop up disappeared and so did the JJsploit icon that was on my desktop. Downloading to my downloads folder cancels the download and/or says "interrupted: download failure".  Any more suggestions?

Thanks