Hello,
Ensure that the Windows Firewall is enabled. Try to download a file from another untrusted or unauthorized source.
Note: Doing so may expose your computer to security risks, so make sure you know what you are doing and are prepared for possible security threats.
If you just want to test whether your firewall and security Settings are working properly without actually installing untrusted software, make sure to delete these files immediately after downloading them and avoid running them at any time.