Cygwin disappeared on its own and messed up my downloads folder permissions (I think)

Question

I am trying to get Autossh to work with Cygwin. I followed this guide loosely: http://tutorialspots.com/how-to-create-ssh-tunnel-on-windows-by-using-autossh-2984.html

I managed to get as far as setting up my ssh keys ad ssh'ing into my server. I did that by copying my windows .ssh folder into the one that Cygwin uses with the cp command, so I skipped the key-generating section of the guide since I have my own.

I installed the packages AutoSSH, OpenSSH, OpenSSL, Zip, Unzipsnd also vim.

So here's the really weird part: I copied the ssh keys, ssh'ed into my server and all went fine. Then tried to use autossh with the -M command, but everything was gone. It's like the /usr/bin folder disappeared. Then I saw that the installation file i got from https://cygwin.com/ also disappeared. And the shortcuts on my desktop and start menu has also deleted itself.

This has happened twice now after successfully ssh'ing into my server once. So it seems on the second attempt, everything deletes itself. Even worse, when I try to download the installation file into my Downloads folder in my user directory, chrome says "Failed: Insufficient permissions". Interestingly it only does this with the installation file. I can download any other files from any other location(it seems). If I tell chrome to use a different download folder, I can suddenly download cygwin again.

I am so confused. Can anyone help?