Build Settings with one shortcut and firewall says it could harm your computer?

Is there a way to have it so when I build my game its just one shortcut not a bunch of files so it doesn’t confuse people that don’t know anything about Unity? Also why does it say it can harm your computer and the fire wall warns you? Is there a way to make it so that doesn’t appear? For my first game it did this but for my new one I don’t want it to.

The vast majority of games on Windows have an .exe plus a bunch of files. Nothing to do with Unity. If you think that’s too confusing for some reason you can use an installer, though you still will always have an .exe and a bunch of files no matter what.