If I understand correctly, you need to download the folder with all the files inside (not just funhouse.exe, the root folder is called "FUNHOUSE-pc-ru") and allow the download in the browser and any windows that indicate a possible threat. Sorry, I use a translator, so there may be misunderstandings
And such a warning about a malicious file is normal, after all, I added it to the drive recently, and there have been no downloads yet