Yes. A security warning is normal for any program downloaded from the web and does not mean the file is unsafe. The Analyse-it installer is digitally signed by Analyse-it Software, Ltd., so you can confirm the publisher before you continue.
If your browser reports that the file is not commonly downloaded, choose Keep to keep the file.
If Windows shows Windows protected your PC when you run the installer, click More info, check that the publisher is Analyse-it Software, Ltd., then click Run anyway. Microsoft Defender SmartScreen shows this warning for newly released software until enough people have downloaded that version; it is not a sign of a problem with the file.
The installer and the Analyse-it add-in it installs are all code-signed. All statistical computation happens locally on your computer and your data never leaves your workbook. The only network communication is licence activation and update checks over TCP port 443 to license-server.analyse-it.com.
If the installer is still blocked, or Windows asks for an administrator password, your organisation is likely restricting software installation. Version 6.20 and later does not need administrator rights, so a password prompt is not something you can bypass by choosing Run as administrator. See Do I need administrator rights to install? Pass the installation instructions to your IT department, or contact support and we will help.