I mean of corse be safe that is most likely the best thing to do, however from my research while Windows Defender is reading it as Malware, it seems to not do any actual damage. It seems for whatever narrative reason (No spoilers) it is acting like suspicious software and tell Windows that it is. This seems even more likely since it is not on Mac, when all of the other games are. The Mac is a more safe and locked down platform while Windows is easy to male malicious software for. That's my guess anyways from looking into it myself, run at your own risk and just to be safe like Hackexblog said do it on a VM or something. I just wanted to give a little info base off of my understanding of the ARG and program itself. :)
PS: The program only seems to "infect" your device after reaching a certan point in the game and not just on start up, at least that is what happened to me.