It like it's your anti-virus program. Since it can't verify the owner, it won't let the auto-downloader run.
On that pop-up you get, though, there should be a "Show details" option, or something similar to it in your window. Open that, and inside there may be an option that says "Do not warn me about this again," which you can check/activate, and that should let the .exe for the FeralCity download run the way it should.
