This is a common issue faced by users who use Microsoft Edge browser with Windows defender.
Solution / Alternate approaches to download the file
Use the Google Chrome browser.
If you don’t use Google Chrome, disable smart screen filtering in Microsoft Edge. To turn SmartScreen on or off in the new Microsoft Edge:
Select Settings and more > Settings > Privacy & services .
Scroll down to Services, and turn Microsoft Defender SmartScreen on or off. (Ref - Disable SmartScreen filter).
You can also download the same blocked file again in the downloads section. Right click on the file to get the download option.