setup.exe should be otherwise named e.g. bliss_setup.exe
WIndows doesn't seem to like files called setup.exe - it's nags might worry some users and put them off. Also makes the file easier to identify once downloaded.
This was fixed a long time ago; Windows changed its restrictions on file naming.
It's now "bliss-<version number>.exe".
You're the second to raise this in the past few days. My understanding is that the file has to be called setup.exe, otherwise Windows does not correctly raise privileges for the copying of files to \Program Files\ and the like. I'll take a second look.