The Windows mentality is to mark any non-certified executable file as a threat. If the file downloads but you get a "Windows protected your PC" popup when running it, you just have to click More info > Run anyway. If the download is blocked, you need to temporarily disable Microsoft Defender at Windows Security > Virus & threat protection > Manage settings > Real-time protection.
Needless to say, never do this if you actually think a game is a virus.