Client Filezilla cancelled every time I close Windows 7

[jumborex]

With the present version 3.5 I have this strange trouble:

• I install Filezilla,
• it works fine,
• but when at the end of work I close the computer with Windows 7, AVG and Prevx antivirus, something erases the executable.

When I return the program is no more in place, and I must reinstall it.
Do you have any solution, and/or an explanation?

P.S. I contacted AVG, due to this topic, but they say that are not responsible for this. They asked me to search their vault, and the file was not there: apparently is not AVG that removes it!

[botg]

Please try the following:

Uninstall FileZilla
Reboot
Install
Reboot

Is FileZilla still installed after that or did it disappear again?

[jumborex]

Nope!
I sent the executable to AVG, and they confirm to be clean, and probably not their intervention to make this effect:

We have analyzed the file you attached and was unable to induce any detection like you mentioned with the latest virus database update. Please make sure to update your AVG before you try using Filezilla again.

This I made, but no update has to be applied in this moment. They say also:

It is also possible to create exception for files detected as Potentially unwanted. Such files included in exceptions will not be detected as threats any more.

This I made, but AVG is right: the exec files is removed at any Windows 7 restart.
So, the possible culprit should be Prevx 3.0 (in the log I've seen no indication about Filezilla!), or the bundled Microsoft Firewall, but I do not know what to do for this! Apparently it does not touch Filezilla.
Remain the strange shield red, when I downloaded the FileZilla_3.5.1_win32-setup: this was something that appeared to be Microsoft ... ! When I downloaded the last version of Filezilla (3.5.1), FileZilla_3.5.1_win32-setup appeared with a small shield and the warning: it was in Italian because I have a localized OS, but the meaning was “This is a program not often used, and could be dangerous”. I had some trouble to execute it, because the antivirus (I do not know which) was trying hard to convince me not to do so!

[botg]

What happens if you uninstall AVG and Prevx temporarily?