Koushal,
I'm afraid that isn't very clear which is probably why you did not receive an answer. But it sounds like one of two things is possibly happening... either the file you have downloaded and are trying to open is being blocked by your anti-virus, or by your firewall. Or if by "open" you mean you are trying to install it, it could be you don't have admin rights to install, so it's a Windows UAC 'shield' you see.
To increase your chances of getting help, I would suggest taking a screenshot of the 'shield' if it sticks long enough, or of the msg you see right before the shield appears.
