Shouldn't save to your desktop, but that's not the issue. My Documents would be a better location. If you want a shortcut, you can make a shortcut to MyDMX on your desktop. MyDMX can be set to by default load the last show you were working on, which is how I do things.
Are you running anti-virus software? REGULARLY? Current definitions?
How do you connect to the internet?
Running SpyBoy Search and Destroy 1.6x? It's free and it actually kills spyware.
I run MyDMX on two machines; my desktop(main tower) and my laptop(MacBook Pro) and I do not have any issues. I don't have MyDMX on my tower anymore since I wiped and redid it mainly since that machine is never going to actually be used for shows.