Keep the file when your browser asks
As the download finishes, your browser may say the file “isn't commonly downloaded” or “could harm your device,” and look like it blocked it. That's the same new-publisher reputation prompt — not a virus alert — and it happens before you open anything.
Microsoft Edge: point at the download in the bar, click the ⋯ (More actions) → Keep → Keep anyway. Chrome: click the ⌃ arrow (or Keep) next to the file → Keep anyway. The installer then sits safely in your Downloads folder.