Avast keeps closing it because it says it might be a virus.
Viewing post in The Curse of Haramed comments
I also dont know why it does that, its just a normal Unity Build, compressed into a Setup using Inno Setup.
To start it, click on More Details and Run anyway.
It basically says that the only reliable way to get SmartScreen to stop blocking your installer is to have enough end users report your installer as safe
Edit: I overread "Avast". Maybe add it to exceptions or something.