That's windows blocking it because it doesn't know what it is, the download comes up as clean for me after allowing download, I've seen loads of games doing the same thing as what you said on this website and every single time they've been false positivesI'm getting a malware warning when downloading it, with the browser asking me whether I want to delete it.
Never had that happen before.
Best to ignore windows when it does that and scan it with your own AV imo, Windows is fraught with false positives