To install protolinker on your Windows device, you need to first go to the downloads page and download the EXE file to install it.

If you got the warning, select to keep the file you just downloaded.

Just need to run the EXE file and follow the installing details, if windows shows again the warning about the file when trying to run it, you can select the run anyway.

Then just need to select the path where to install it or keep the default.