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Safety of VPN executive download file

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Why do I get this warning (when I am ready to start the VPN install):

“MozillaVPN.msi” is an executable file. Executable files may contain viruses or other malicious code that could harm your computer. Use caution when opening this file. Are you sure you want to launch “MozillaVPN.msi” ?

O Svilans

Why do I get this warning (when I am ready to start the VPN install): “MozillaVPN.msi” is an executable file. Executable files may contain viruses or other malicious code that could harm your computer. Use caution when opening this file. Are you sure you want to launch “MozillaVPN.msi” ? O Svilans

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If you downloaded a program from the internet then a zone identifier gets added to the file via an Alternate Data Stream (ADS). You can check the Security tab of the program via the right-click context menu in Windows Explorer and possibly remove this identifier.

If you downloaded this installer from the Mozilla server or from the MS store then you should be safe.