Strange download

[skillfulgil]

I DOWN LOADED A RING TONE. I NO LONGER HAVE IT. I DELETED IT MOMENTS AFTER THE DOWNLOAD, AND YET EVERYTIME THE DOPWNLOAD WINDOW OPENS IT READS AS THOUGH ITS STILL THERE ON DESKTOP, BUT WHEN I CLICK ON IT IN DOWNLOAD WINDOW, IT READS REMOVED OR DELETED. HERE'S A SCREEN SHOT. I CANT FIND IT ANYWHERE,
http://http://imageshack.us/photo/my-images/263/spybotm.jpg/