Windows is blocking EXE file downloads.

Option 1:

Try lowering the UAC settings:

1. Click in the search box on the taskbar.
2. Type UAC.
3. A list of search results appears.
4. Click “Change User Account Control settings”.
5. The User Account Control Settings window appears.
6. Set the UAC switch to the position you want.
7. Click OK

Option 2:

Temporarily disable Windows Defender using this guide:
https://www.makeuseof.com/how-to-turn-off-windows-defender/