Executable file cannot be downloaded or copied to computer

Today, I tried to install a patch for a game on my Windows 8.1 computer.

However, when I try to download, the connection is immediately interrupted. When I try to download the file on another computer, and copy it using an USB drive, the file gets deleted as soon as I try to execute it.

It sounds like some antivir running havoc, but the computer has no antivirus software other than Windows Defender installed.

How could I find the cause of that issue?

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