Yeah, there is something in Game Maker: Studio games that can make Windows find them suspicious and I have no idea what...Even I've got warnings of my own games after building them which is ridiculous.
You can add it to exclusions in Windows Security though, it has worked for me so it should work for you too. If you can't even download it, you should use a different browser, it shouldn't be up to windows if it's suspicious until its on your PC.