The installer is an executable file. Any executable file can potentially be harmful — its the browser that is blocking it, so use another browser that lets you download it if you cannot figure out how to unblock it in AOL.
Internet Explorer will also give you a warning that the file is potentially harmful, but you just let it download the file anyway since you know its from a trusted source.
You would have the same problem downloading almost any software unless the installer is in a zip archive, which is less convenient.
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