Yeah, this happens to all indie non-steam games made in Unity and Unreal Engine, Windows does not like executables for a good reason. If a pop up shows, it should allow you to click "More Info" and "Run Anyway".
If you click more info, it will reveal a button that will let you run the game, this message should also only pop once. I am sorry for this, it's a problem all of us indie devs have, but I totally understand why