The easiest method is to turn of "Microsoft Defender SmartScreen" in Edge by clicking the 3 dots in the top right then choose Settings.
Then Privacy Search and Services and scroll down the right side to "Security" turn Microsoft Defender SmartScreen off.
If you don't want to do the above option then you will need to follow the alternate steps below.
When the download is started press the down arrow in the top right followed by the 3 dots & choose Keep.
After you have completed the download you can press the down arrow in the top right and Open File to start the install.
Press yes when prompted by the installer.