Your download is starting.

Windows may show a blue "protected your PC" box. Here is why.

Locally is new, so Windows does not recognise it yet. It shows this standard box for every app it has not seen often. It is not a sign of malware.

1. 1Open the downloaded installer.
2. 2If you see "Windows protected your PC", click More info.
3. 3Click Run anyway. Locally installs and starts by itself.

You only do this once. Locally runs on your own computer; nothing is installed in the background.