Downloaded applications disappear after restarting?

Hi guys,

I'm not sure if this is the best community to post this question. But here goes.

I have several applications I bought online which seem to continually disappear on restart. At first I thought I imagined it, or I did something wrong. But now I can see it happens continually when I do a full shut down, at least on several applications.

Specifically, I notice it happens with my VPN client and with Skype. A full search of my computer will only find the downloaded .dmg files for both applications. (It could be happening with more apps, but these are the ones I use frequently, so these are the ones I notice.)

I just reinstall, but it isn't very convenient.

Any idea why this would be happening and how to prevent it?

Puzzled...

Cheryl