Vista and saving pdf files

Every time I try to save a file as a .pdf, I get the message that "for my
security, Vista is going to save the file to the Temporary Internet folder,
do I wish to open this folder now?" I have NO OPTION to NOT do what Vista
wants. It's incredibly frustrating.

I say "yes" and the file is just gone. I can't find it anywhere - I used
Advanced Search and put in "Everywhere" and searched for *.pdf and they are
just nowhere to be found. How the heck do I disable this "feature" and whose
neck do I wring for even thinking it up???????