Microsoft has added a new security layer in Windows 8 called SmartScreen which warns users before they try to run unrecognized apps downloaded from the Internet. Windows SmartScreen works, no matter which browser you use to download files.

You need to click to More info to uncover a couple of options that should have been visible in the first place.

You will then be presented with some more information such as the publisher and app name and you will also be given a choice to run the application.