its most probably because most operating systems think its a virus, even though it is not, and due to that, block the download or even the opening of any file, so i would say to most probably turn off your antivirus, but thats also very risky
its flagging it because the exe is not signed, its not flagging it as a virus, when that message pops up you can just click in "more info" and click "run anyways" that it will run
