That happened to me, it also happens when i download minecraft mods, thats Windows' antivirus, but you can click 'Read more' or something in bold and then click 'Run anyways,' mods haven't done any harm to my computer, so don't worry about it.
yea that's what you do lol. Some people are confused on where they can press run anyway. Windows made it a puzzle if you don't know what your doing lmao