I used Game Maker Studio 2 and created 2 different builds, the .zip one just lets you download the file and the .exe one that install the game directly inside the computer.
Both are safe but I understand if you feel unsafe sometimes Gamemaker's builds get identified as virus despite being harmless, although I you would reconsider downloading the game i would recommend the .zip version because the files are easier to get rid of if you do not wish to keep them.