This has never happened to me when trying to install a game.

I assume it's a false positive?

What can I do to prevent "sshock.exe" from getting deleted?

Submit the file to your anti-virus provider so they can re-analyze it and hopefully declare it to be a false positive and remove it from their virus definitions.

Can't you whitelist it as an exception while installing/playing?

Or unplug your internet, shut off the virus scanner, install the game, then turn the scanner and internet back on.