Firstly, ensure you are actually downloading the file from a trusted source. That is the purpose of this messaging. It is telling you that the file you are trying to download doesn't look like a file that is normally downloaded and it therefore may b e a malicious file masquerading as a valid file.
If you are confident that you trust this file then the responsibility is now on you if it is malicious. In that messaging should be a "More Information" or ...
equivalent button/link. Click it and then you should have an option to download the file or, if it is already downloaded, then Keep the file. You may get an additional warning with yet another "More information" link, depends on your browser and version. If you continue this process it'll eventually let you download and run the file, barring AV blocking it further.
After you download the file, it may fail to run. In that case you need to go to the properties of the file in File Explorer and Unblock it to allow it to run.