What should you do when you download a file and it says that it can harm your computer?

My school is giving students free Microsoft Office and I downloaded the one labled Microsoft Office 2011 for Mac. But when did the first step in installing it, which was download the Download the Secure Download Manager (SDM) installation file, a warning came up saying: This type of file can harm your computer. Do you want to keep SDM.pkg anyway? I'm not sure whether or not I should Discard it or Keep it.

That's a warning from the Chrome browser. If you're sure that you downloaded the file directly from Microsoft, and not from any other website, you can ignore it.

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