It's very strange.
When I copy sKVM-BTC-Import_v1.2.ex4 to /expert/script folder
and run Metatrader this script file is automatically removed !!
That's exactly the same behaviour with EA file eKVM-BTC-Chart_v1.1.ex4
when I copy it to /expert
I'm using MT4 version 4.00 build 509
Windows 7 I suppose? Please, try to Unblock the file after download, I think it is a security feature.
Right click on the file, select Properties, then click Unblock button!