Here is an example , when you download any executable file , the browser will block it from downloading it, so you have to do few more steps to allow the browser to download. When you something like image below, move your mouse of it and to the right you will see 3 dots.

click on it, then select keep. and then show more, or show more details, and then keep anyway, finally run anyway.  

If you see user account control message 

"Do you want to let this program make changes to your computer", click yes.

after you click keep anyway, you will see download folder icon click on it and run the program there, or just click open file to run it.

Click more info,

Then run anyway.

You see this kind warnings and blockages for your safety and to protect your computer from viruses or malwares, spamware so on.

 Note: each browser has it's own way and download and icon location, the download message either on top right or bottom left, depend on user's browser.