Sometimes it's the browser settings really. If you're using Chrome click on the three bars button at the right top corner and press "Settings". Then go down, click "Show advanced options" and uncheck (in Privacy) "Enable protection of phising and malicious software", something like that, then try again. After the download ends I'd suggest to turn on the thing again, but that's your choice.
I don't know how to disable this on Firefox and other browsers. I had to stick with Firefox for a while so I didn't explore much the settings, if you don't count proxy settings.
