Hi there. First of all you are running hijackthis from a temporary folder. The backups that hijackthis creates can be accidentally deleted when not in a permanent folder. Please do the following;
Click My Computer, then C:\
In the menu bar, File->New->Folder.
That will create a folder named New Folder, which you can rename to "HJT" or "HijackThis". Now you have C:\HJT\ folder. Put your HijackThis.exe there, and double click to run it.
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