There is usually a "link" in the dialog box that pops up and tells you that, usually to the middle left. But I am at a loss to remember the wording, and I cannot get it to come up on my computer at the moment to refresh my memory. But you click on the link, and it takes you do another dialog, and you tell it to "Download it anyway". You can also go into Windows Defender and put the file name in the "whitelist" section.
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