Actually I don't play games with an installer, since I don't want to give administrator rights to a random .exe from the internet. Most games in a .zip run fine without it, but installers need it.
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You're doing so either way, the exe in the zip wont be signed, so you're allowing an exception to run it (Whether you get a prompt about it is up to your settings), and again with the download step, your firewall settings will determine whether you get warning about random exe's and/or zips. I'll change back to zips for future gamejam's though :)