Assuming you're using Windows and this is Windows SmartScreen preventing you from running the file: Find the file you downloaded (perhaps in your Downloads directory, or by right-clicking on the download entry displayed in your Web browser and choosing to open its destination/containing folder). Right-click on the file and choose "Properties" (I believe in Windows 11 you'd have to choose the option to expand the right-click menu first, then you'd have the more comprehensive menu with "Properties" at its bottom). In the "General" tab, find an option named "Unblock" (it should be a checkbox or button) and tick/click it, then click "OK" to save. Then you should be able to run the file.
Optionally, I personally think SmartScreen is a stupid security measure, and if that's what preventing (prevented?) you from running the file, you could look up a guide on the Web to disable SmartScreen. Note that SmartScreen isn't an antivirus, it's a security measure that is separate from Windows Defender (the built-in antivirus of Windows) and from any antivirus you've got installed; as such, if you don't do anything weird, disabling SmartScreen shouldn't cause Windows Defender or your other antivirus, if you've got one, to stop protecting you.