When I try to download the installation file, I get a security warning.
This is caused by your web browser's security settings. It should do this for most files you download from the internet to prevent a hacker from downloading files to your computer without your knowledge. Click on the 3-dot menu in your web browser:
Then select Keep. That will allow the download file to remain on your computer, so you can save it and use it.
Make sure you save a copy of this download file in a location where you keep all important files you backup regularly. This way you can use that same file again in the future to reinstall or if you get a new computer.