After you have downloaded the EXE file, to avoid any issues when running it, it's best to clear the flag that indicates it's a file downloaded from the Internet.

Open Windows Explorer, navigate to the directory where the file is located.
Select the file, right-click, then choose Properties

At the bottom-right of the dialog box, check Unblock, then Apply, and close the dialog box.

You can now run the EXE file.