ughaibu:
Sorry for confusing you. This is going to be a long post sorry for that folks.
Some sites has java applets, like menu and others features. To this work you need the java engine in your Computer, and you need that this classes files run in your computer too.
So Internet Explorer put this files on a TEMPORARY (sorry for the caps just make my point) Internet Folder. So when you navigate on the site this files reside on your Computer. If those files are infected your Antivirus make the alert and stop them from running. When you try afterwards find them they don't longer exist because IE should remove the temporary folders. Thats why you can't find them, because AV do its job. This temporary folders has weird names like CFYTIO56T and only in MSDOS mode you can find those folders. Why? Ask Microsoft or Bill Gates!
So now you are saying yes Blah blah blah but whats the solution?
Solution could be radical you disabled Java on your Browser then you stop to see those nice features on Internet, or you just trust on your AntiVirus program that don't let run those class files on your computer.
I ope i was clearer this time...