I have noticed this myself while trying to download a document from someones website. "Are you sure you want to download this????"
Duh! well I need the document and I know these people are legit so YES! There's usually a place to click saying "I understand the risk and proceed" or something to that affect.
There could be two things going on here; One- your computers security setting is very high and the website your on might be too young to have a track record. and two- you're being phished to scare you into downloading an anti virus software that you really don't need.
Well if you still aren't sure if the site is safe. there's a great website that provides links to other sites that all they do is verify the "safeness" of other sites. https://www.techsupportalert.com/content/how-tell-if-website-dangerous.htm#Check_Site_With_Zulu_URL_Risk_Analyzer_And_Comodo_Web_Inspector
No kidding there are lots of sites out there that verify the security and provide assurance that the site you're trying to access and the document you want to download is completely safe. Follow the easy instructions and VOILA! You can proceed knowing that your safe.