Sometimes W10 gets a little over-protective when attempting to execute downloaded installers. Melda's installer is one I've seen Windows complain about. It's why I always choose the manual install option (DLL in a ZIP file) if it's offered. Tritik, for example, gives you both options.
You don't need to disable Defender, AFAIK. When the "Windows has disabled..." message comes up, click on "More Information", which opens a panel with a "Run Anyway" button.