"unknown publisher" warning - how do I assign a publisher to my .exe ?

"unknown publisher" warning - how do I assign a publisher to my .exe ?

I have made a setup.exe file to distribute to our customers.
I run it from IE.

After the Run Save Cancel popping up it says "unknown publisher" (see attached image)

How can I assign a publisher to my EXE? I at least want it to say Publisher: MyName rather than unknown.

I guess for that warning to go away I need to purchase a Verisign or something but I hear thats expensive?
I would settle for the warning to at least mention my name !

thanks,,

Can you change "setup".exe to your name? Such as Bansaw.exe ... will it run with a name change?