1. Open MS Edge and go to Settings and more (...) > click on Settings
2. Go to the "Privacy and services" tab and toggle the setting for Microsoft Defender SmartScreen to Off and turn off Block potentially unwanted apps.
3. Once done, try to download the file again.
4. If that didn't work, try to temporarily disable your antivirus, or do the option two on this article:
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View attachment 3440586
Click the Smartscreen and block unwanted apps to left and try to downlaod, after that turn them back.