|I think that is simply a warning that an exe file is a program (therefore it could be a virus or it could be quite valid). |
Best bet is always Save to a folder instead. Then if you right click the downloaded file you should get an option to check it out with your virus checker. If it's clean then you Run it by double clicking it. Clearly it will install something but that maybe OK - it depends on what it is (which you would presumably know).
Please come back and let us know the outcome.