Most browsers say that for any unknown .exe you download. Run it through your virus scanner and if it's all clean you can run it.
Also, per the directions, this is not the game itself. This is the installer. The game is currently over 700 MB.
Yeah. It seems that it's just the fact that it's unknown.My anti-virus also stopped it while it was updating because of "suspicous activity" but after it scanned it said it was ok. I played a bit. It seems to freeze up quite often. I can't say that I am a fan of the grid-movement system. Also not a fan of losing story progress when getting knocked out but I imagine that it will happen less later on. The UI is kind of awkward and clumsy. Other than that I like the artwork and story and the customization of the girls.