It is a false positive. Some Anti Virus reports them as trojan/malware/riskware, it happens for Electrum also.

For extra security you can verify the PGP signature for that file (It is signed with mine PGP key):
Verify the  signature of what you have downloaded by using the file signature:
https://github.com/Groestlcoin/electrum-grs/releases/download/v3.3.8/electrum-grs-3.3.8-setup.exe.asc
and my (signer) public key:
https://pgp.key-server.io/pks/lookup?search=0xD11BD4F33F1DB499&fingerprint=on&op=vindex
https://pgp.surfnet.nl/pks/lookup?search=0xD11BD4F33F1DB499&fingerprint=on&op=index
https://keyserver.ubuntu.com/pks/lookup?search=0xD11BD4F33F1DB499&fingerprint=on&op=index
https://pgp.circl.lu/pks/lookup?search=0xD11BD4F33F1DB499&fingerprint=on&op=index