Has something to do with windows not being able to verify the publisher of the program. I use it all the time for its versatility and being able to play just about anything. Enjoy without fear.
Precisely.
When you connect to a website using "https" instead of "http", the browser will verify that the website is what it claims to be by using "secure certificates" (basically, a cryptographically-signed file, signed by a "trusted" entity (root certificates built into the browser)).
When you install new Windows software, Windows will do a similar check, and if the software isn't "signed" by a "trusted" entity, it'll pop up the warning. If you trust the source of the software, all is fine. And VLC, downloaded directly from its source, is fine.