Yes I had the same problem today with my first widows game. On my test download my virus software quarantined the file and removed it from downloads without any option.
Your comment about WinZip helped. I WinZiped the exe and to be on the safe side I categorised it as other rather than a windows executable.
Downloaded OK and the antivirus ignored it. Just a warning on the download that the file is from an unknown publisher.
Thanks for the tip.