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I have downloaded the pcsx2 0.9.8 several times and every time i try to run the program it disappears from the folder. Has anyone else have this problem and knows how to solve it.

Apparently Norton antivirus is picking it up as a virus (this is false), you will have to add an exception or add it as safe in Norton or whatever antivirus you have if it's doing the same.

I have Norton 360, but I have no idea how to add it as safe

First google result for "norton 360 exception", if it doens't help you try to google a bit.
http://answers.yahoo.com/question/index?...049AAkErEk