This is one we've been seeing a bit more of lately, where someone will be going to download Toolkit, the tax printer, or something similar from our web site.
When doing so, something similar to the First image will come up, saying that the file or program is not commonly downloaded, and could harm the computer. From here, the options available will be Delete or Actions or View Downloads.
To get past this, click on Actions; this will open up a window similar to what's in the Second image. This will show a bit more information, but effectively not saying much more than that Microsoft doesn't recognize the program. From here, click the More Options arrow.
From here, you'll finally have the option to run the program, by clicking Run Anyway. Once you do this, the program will finally start to be installed.
I hope this helps anyone who has run into this, since it's not immediately obvious what steps someone might need to take to get a program to actually download and install.