Unable to install due to Malware warning

I downloaded “Horizon-Setup” from HorizonMB and it came in a double zipped file, I extracted it and then it was necessary to extract it again, ten I tried to run the Executable and my Malwarebytes kills it and deletes the 809 KB install file. and says that there is an “PUP.OPtional.Bundle” involved and quarantines it.

What am I doing wrong?
Oh, and when I tried to put in a screen capture, it wanted a URL address.

pup = potentially unwanted program

optional = you have the option

bundle = bundled

disable your anti virus.