The SmartScreen is a feature that is used in the Internet Explorer as well as in Windows 8 and newer versions of Windows. It is supposed to help to protect your computer against unwanted software. It uses a reputation-based system to rate files downloaded from the internet. That means that a file gets a better reputation when it gets download more often. As a result you might get a warning like this, especially for GAMS distributions that were recently released:
If you click at “More info” you will see the option to continue the installation process.