The error you're getting is because the setup you generated isn't signed and your network policies require that setup programs be signed. The fix would be to create a certificate and associate it with the setup program. But how you do that depends on what installer you're using. It sounds like you might be trying to use ClickOnce so the docs on how to sign are here.
Note also that if you are trying to run this from the INet or a network drive it is also possible Windows has blocked the setup program. You can right click the setup executable and view its properties. Make sure there isn't an option to Unblock the exe. That doesn't seem to be the case here but might also explain the dialog you're getting.
I would also recommend you don't use VS Express. VS Express was the original, free version of VS. But there is really no reason to use it these days. VS Community is more powerful and also free. It provides all the core features of VS and many that Express doesn't have. This wouldn't change your situation now but would give you more options later. It is also extensible with 1000s of free extensions that can help you out. I would recommend you uninstall Express and install Community.