You should only select "Keep" if you are 100% certain about the file’s origin. Here are a few signs it is safe to proceed:
The file isn't downloaded often by other users, so Edge hasn't verified its safety yet.
You clicked an ad that looked like a "Play" button or a "Download" link on a file-sharing site.
If you find these warnings too intrusive or if you want to tighten your security, you can adjust your Edge settings: Open Edge and click the in the top right corner. Go to Settings > Privacy, search, and services . Scroll down to the Security section.
How to that Windows still won't let you open? Where to find your Edge download history to see old files?
If you see this prompt unexpectedly, it is safest to hit "Delete" immediately. Be wary if: