The error message is “this type of file can harm your device”. I have windows 11. The system type on my laptop state “64-bit operating system, x64-based processor”. Vassal gives 2 possible downloads for Windows 64-bit:.exe for 64-bit X86 & .exe for 64-bit ARM. I tried both & no luck installing either. Anyway I am currently thinking neither may be the right choice for my laptop. Mine is a x64-based processor not an X86. A quick search indicated ARM is commonly used on smartphones. Well, I don’t know. Please let me know if you have any suggestions for me to try. Also note that I tuned off “S-mode” so I that am able to download non-Microsoft apps. I also have Norton as my security software.
The 3.7.5 installer you should download for Windows on a 64-bit x86 CPU is VASSAL-3.7.5-windows-x86_64.exe.
For the warning, see here.