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.exe file appears in download window but not download folder and I can't open it

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Downloaded a game from bigfishgames. Pop up window said .exe file was a binary and asked if I wanted to save binary file or cancel. Clicked "save file". Mozilla Download window appeared with cancelled download. I retried and it worked, but I can't open the file and it is not in the "Download" folder in My Documents.

Downloaded a game from bigfishgames. Pop up window said .exe file was a binary and asked if I wanted to save binary file or cancel. Clicked "save file". Mozilla Download window appeared with cancelled download. I retried and it worked, but I can't open the file and it is not in the "Download" folder in My Documents.

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If you right-click the item in the Downloads window, and choose Open Containing Folder, it should be there. If it's not there, it's possible your antivirus software quarantined or deleted it after it was downloaded.