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I think it is what is called Deep Freeze. It's not a virus/malware/any harmful forms. It's instead a way to save your computer from viruses - everything runs on temporary memory and your harddisk data will remain as it was. In other words, no matter what you do you will not change anything after you reboot your computer. I remember computers in my school used that to prevent students from downloading/inserting games because they make comps run slower and might bring viruses. Then I noticed a grey circle icon at the right of the start-bar. It was the Deep Freeze program.. tried using the Task Manager and opened the Processes tab and found something called DeepFreeze or something like that. After I click on End Process, the deep freeze icon disappear and my tetris game didn't disappear 
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Sometimes harddisk are designed to Deep Freeze. Perhaps your harddisk is divided into C:\ and D:\ , and the C:\ is the one which is Deep frozen (to prevent Windows from getting any problems), so it's worth trying to install things on D:\ (or any other disks if there is any, just try ^^ )
Just note: I am not sure :') .
.Sometimes harddisk are designed to Deep Freeze. Perhaps your harddisk is divided into C:\ and D:\ , and the C:\ is the one which is Deep frozen (to prevent Windows from getting any problems), so it's worth trying to install things on D:\ (or any other disks if there is any, just try ^^ )
Just note: I am not sure :') .
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