Hi there,
I'm not familiar with this issue at all, actually -- there's no way for a game to delete itself, because the an executable is locked while it is running. If something is deleting the executable, it's either Steam (unlikely, I've not heard of that), or some sort of third-party antivirus or something. I'm really a bit at a loss, but I can assure you there's no way for the game itself to delete itself (otherwise, we could do automatic updates much easier, for instance).
Hopefully the thought about the antivirus helps, at least!