If it's the same problem as me, once the file has downloaded, it has a link in the conversation to open the file, right?
Well don't click that link. Go to the folder that it's located in (My Received Files) and open it from there. It doesn't delete it that way.
Also, if you do click the link by accident and the pop up come up, don't click on Close or any of the buttons. Go to My Received Files (Notice it hasn't been deleted yet..) and copy and paste the file, so when you close the Warning box, it deletes the file, but you have a copy of it, so it doesn't delete that.
Hope you understood that
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