Googled on the issue and found that an other software had this issue too...
The warning comes from some "SmartScreen Filter" security software of Windows 8 or Internet Explorer 9. The page says:
"Please note that <Software name> setup file does not have a digital signature and this can cause some security warnings in Internet Explorer and in Windows 8. In some cases, Internet Explorer 9 or Windows 8 SmartScreen Filter might pop up a warning stating that the setup file is not commonly downloaded and could harm your computer. This happens because the setup file has not been digitally signed and the program has been recently updated."
If Win8/IE9 really judges a software only on its digital signature, it is really dumb... but who would expect professional solutions from a Microsoft product...
The site also describes how to override the warning:
http://www.winhelp.us/index.php/general-security/password-safe.html-geever