Blocked files on windows xp

Hello,

I want to install a key-logger on one of my computers, but every time i try to unzip the setup files windows (xp pro sp2) automatically deletes the files because he recognizes it as malware (even though it is a legit application).
I've unzipped it on two computers and the same thing happens.
I was able to install it on a VM xp pro but when tried to copy the extracted file to xp it was also immediately deleted.

what can i do ?

thanks !

It is windows.

one of the computer is clean install without anti-virus, anti-spyware, firewall and so on.

Or better put, logged in as administrator?

i am logged as an administrator.

no application was executed, maybe one of windows services is doing it.

i've found a few references to the phenomenon when i googled the error message text which but no proper solution was mentioned, just non-effective methods to buypass to auto-delete when extracting (the message is a winzip error). when i extracted it on the VM and tried to copy it to the host the file was auto-deketed with no error or any indication, i didn't had a chance to even see it, like it was never copied.

i don't even get to start setup.
when i try to extract the zip files which include the setup file, it is automatically deleted.