sadly some people do harmful things with executables, this is probably the reason why most AV software warns or removes .exe files - which, in general, is understandable.
First of all you should verify the .zip file you have. Open Nano Wallet - Navigate to the Services section (top navigation bar) and find "Apostille". Below Apostille you have the chance to "Audit" a file. Click on "Audit", Drop the .zip file in (keep the long name) and verify that you get a "File sucessfully audited" message. Also check that it is published by NANEMA-TZVL26-LNYIBB-GOZ7X2-IQ57UR-ZLEWFT-63YZ. The red x in the "private" section just indicates that the Apostille is done with the public address - this is okay.
Once you have verified the .zip file you should consider if you can trust me as a publisher and you may check if you can add an exception to the AV software. I don't know Panda but most AV software allow white listing for individual files. I wouldn't recommend to disable the anti virus software at all!
If it's not possible to add exceptions you may run the generator in a virtual machine, there are f.ex. vmware player, hyper v, virtual box etc. which give you an isolated operating system.
It's also possible to use some sandbox software to isolate the generator from your environment, although i personally have no experience with that.
Last option, this also applies if you don't trust me, you can compile and run the generator form the sources. Install Visual Studio Community Edition, download the sources from github to a new folder, open the project and run it.
Hope this helps