.exe file to open the app. You will see a screen titled "Windows Protected Your PC."Using an app that can't be checked for malicious software might harm your Mac or compromise your privacy. If you're certain that the app you want to use is from a trustworthy source, you can override your Mac security settings to open it.
The app is saved as an exception to your security settings, and you can open it at any time by double-clicking it, just as you do with any registered app.
Note: You can also grant an exception for a blocked app by clicking the Open Anyway button in the General pane of Security & Privacy preferences. This button is available for about an hour after you try to open the app.
To change these preferences on your Mac, choose Apple menu > System Preferences, click Security & Privacy, then click General.