When you run a suspicious file that requests elevation, be careful, always click No the first time!
You should do this because the Download Insight warning window gets ocluded by the elevation prompt and its Secure Desktop (the darkening of the screen).
When you click No, you will see the Download Insight window flashing on your taksbar. Read what it says and be on the side of caution.
If you really really want to run that file, run it again and click Yes. You're obviously your own boss then, and you're responsible for what happens next.