Apologies for posting this 9 months later, but you need to run the launch shell script that exists alongside the executable. You may also need to install additional libraries, depending on what other libraries it says are needed.
rufius
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So you don't. Besides, Super Mario 127 is open-source as of now and can essentially be run on the latest versions of the Godot mobile editor and be exported as an APK, as the Godot mobile editor now supports that and it's confirmed that Super Mario 127 runs well on mobile. APKs still follow the rules of package formats on many systems, such as regular Linux or Winget; you can either install them from some sort of link (such as a repository) or from a file. APKs also do not need to be published to a storefront because of this.
To put it into more detail, Windows (I'm assuming it's Windows based on the message you put) doesn't really like unsigned apps, Super Mario 127 being one of them. Running an unsigned app for the first time triggers SmartScreen, the Windows component that displays that window stating that it might be risky to run the program. Super Mario 127 isn't a kind of malware, so all you need to do is click on "More Info" and then "Run Anyway." Windows will remember that choice, so you will not to see SmartScreen pop up for that version. The Linux version does not have this issue because no such component exists for Linux; really, the only thing that's stopping you from running the game is not having it marked as executable.