Most .exe's from itch will do this on Windows because Windows is not your friend and does not have your best interests in mind.
Open .exe, "Windows has protected your PC", click "more info" under the jargon they put there, click "Run anyway", game opens and won't ask again.
If this doesn't work try right clicking the .exe and "run as administrator" with the little shield icon by it.
Best of luck
-Tech Support