When you try to run certain type of programs or apps that are rarely downloaded, Windows warns with “Windows SmartScreen prevented an unrecognized program from starting. Running this program might put your PC at risk” message. If you are sure that the downloaded program is safe, you can continue by clicking Run Anyway button.
But Windows SmartScreen can be irritating at times. It actually blocks software that are safe to run. For instance, when I tried to run a program named PWBoot from a well known site, and it was blocked by SmartScreen.