Exactly, Windows is asking for permission to execute the executable file.
Actually, in its default configuration, it's telling you it has blocked a dangerous file from opening (but you can click a tiny link to show a second button to allow executing the file anyway).
There are two separate mechanisms here. In this particular subthread, we're discussing code signing -- when an executable lacks it, Windows says "this isn't signed, you sure you want to run this?".
When you download a file from the Internet Zone (the old IE concept, but it applies to current browsers), Windows will _block_ the file preventing you from running it (or for certain file types, open it) until you explicitly unblock the file, then re-perform your action.
Actually, in its default configuration, it's telling you it has blocked a dangerous file from opening (but you can click a tiny link to show a second button to allow executing the file anyway).