There should be text box that says something like 'More info', click that and then a box saying 'Run Anyway' will appear. This appears to protect your PC from potential viruses, so be careful with it in the future.
CK isn't registered with Microsoft (for obvious reasons ;) ) so the game isn't in their database, hence the "unrecognized app" warning. It's basically just saying "Hey, we have no idea what this is, so we can't guarantee it's safe" :)
