I've been using Microsoft Security Essentials, in the Settings tab I found "Excluded files and locations", created a folder on the desktop, named it "Games", white-listed it in "Excluded files and locations". New trainers get unzipped under "Games" in their own folder of the game's name and version
I had to do this to, although i already had done it some time ago, something strange happened to my MSE. It turned itself off and gave me some strange message that freaked me out so i ran all checks i could and found a trojan.
That resulted in me formatting my PC, which i should have done anyway some time ago. Anyway, i tried your suggestion after i still had the same problem with the trainers.