Hey, it's important to always be cautious when opening any .exe file or visiting unfamiliar websites. Always double check their trustworthiness. Instead of relying solely on microsoft's garbage, you might consider scanning files or links through VirusTotal for extra security. While ad blockers are helpful, they might not catch everything, so using additional tools like Malwarebytes for web protection could be useful, and it's free.
There's always the alternative to use VirtualBox from Oracle, but conduct a more thorough research on that yourself.
ps. keep in mind, before opening any links, you can hover over hyperlinks and see at very bottom where those links lead to before opening. with protection you might get a separate popup if they are seriously harmful, you can also scan links via virus total as well.
Stay safe o/