who is “they”
the hell do i know? it just looks like that the link is wrong
What if you go to your Downloads folder in Explorer and try to run it there? It looks like there’s a permission problem while trying to launch the executable from Chrome (which is heavily sandboxed).
I see you’re using Avast
Windows Defender and Avast flags the Messenger Plus! apps as malware when I tried to run the file, then I disabled them for some time to allow it to install.
maybe you can try disabling them too