These days, distributing executables is hard, basically because they have such enormous permissions by default that they're pretty dangerous to run. Digitally signing the executable will help, but that involves purchasing a code-signing certificate and using some developer tools to sign it.
This is why it's better to publish either a UWP app (Microsoft Store) or publish to HTML5, which both have different and better permissions models that are secure by default, so you don't get similar warnings.