sorry for being afk lol yeah any .exe file you download off the web gets that warning. since it's from itch.io it's usually safe and gb patch is definitely safe so if you download itch.io games and it's an exe again don't worry about it and just run the program!
which OS are you using, windows? mac? you need to extract the files from the zip folder and then click on the application file (should say 64 somewhere). sorry i'm not of much help i suck at jargon i just know what to click