That advisory is shown in this Apple support document:
Safely open apps on your Mac - Apple Support
You can do "Show in Finder to give to the location, then delete the file.
The file name suggests macOS intercepted an attempt to load adware, likely caught when you downloaded something else from an unscrupulous download hosting sites. Those sites make money by giving you free grief with the "free" download. You are always in danger when you use sites that claim to give you something free that you know costs money elsewhere.
The most common file types carrying hidden adware are fonts; screensavers; and ringtones.