I am using Windows security on a Windows 11 system

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Then it's likely something that's changed/been added to Windows Security definitions under Windows 11.

You can override blocks and whitelist under Windows Security.  It's been ages since I've had something blocked, but in the message that pops up there used to be a link that had click-through text that didn't make it particularly obvious that the next thing you'd get was an option to allow anyway, or start that process, so I'd suggest trying to download again and taking very careful notice about what your options may be for continuing on in the initial message saying it's blocked.

I am still on Windows 10, Version 21H2, so cannot advise further since I cannot replicate the issue.
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Brian - Windows 10, 64-Bit, Version 21H2, Build 19044  

The real art of conversation is not only to say the right thing in the right place but to leave unsaid the wrong thing at the tempting moment.

        ~ Dorothy Nevill