I always keep downloading rpgm games and none of them work, all because my computer deletes them.
A computer is not sapiens, it will not delete something unless it's explicitly asked to.
While I found it strange that an anti-virus would match all RPG Maker games, it's the first possible culprit. It surely don't act silently, you should at least have a warning window that pop-up. At worse, look at it's logs.
The other possibility is a lack of rights. You're trying to extract the game in a directory without having the rights to write on this directory. But once again it shouldn't be something silent, you should be warned that you don't have the correct rights. Try with another directory.
There's also a possible wrong use of the archive. Windows treating zip files as folders is probably the worse innovation ever. So, do you really extract the content of the archive ?
And by the way, what do you mean by "delete them" ? Do you the directory disappear ? Is it the files ? Or do you have a dialog box telling you that there's missing files ?