If it asks you to replace the other file too, it's most likely hidden, marked as a system file or has a name that does not display and a blank icon (both of which are unlikely). If it doesn't ask you about replacing the file, it's most likely getting removed by a real-time monitoring process, such as an AV (or possibly a virus?).
Open a command prompt (cmd) and do this:
>cd Desktop
>dir /B /AHS | find "SmokinGunsHook.exe"
(or whatever the hack name is)
That should check if the file exists, if it's hidden or marked as a system file. Oh, and check your AV for any recent activity, maybe it's the one removing the injector (some AVs tend to do that).