The reason this message pops up is because it is a self-unpacking .exe file and Windows will do this with any other file like it.
Windows / Chrome tend to feel weird about any developers / publishers who are not signed with them. I am not a signed Windows developer.
In this case, you just need to Allow -- there is nothing harmful in Copper Odyssey. I will be adding this to the Installation Instructions section, as others may be worried about this too. There is no need. Thank you for the comment.