Yes is warning something  like:  " Running programs from unknown source is potentiality danger.... "

The world would be a beautiful place if instructions always worked for everyone. You accepted straight away that I knew absolutely nothing and that I wanted to make no sense. I don't know many things, I know something. I want to learn more about Linux, so I go to the distrowatch I'm familiar with the Desktop interface like Cinnamon, MATE, XFCE and I like the last one the most, I installed something else but I didn't like it very much so I just deleted it.  So I'm looking for the most popular recommended distribution with XFCE.... By the way I tried Parrot, Xubuntu, ubuntu, Mint....   I'm not in it 24/7. But since windows is going in a direction I don't understand (I want a photo program, I install it and it should work. And not, like windows, having to manually change the file associations which will change to default after an update anyway) I'm looking for something to use on a daily basis which I can recommend to my family and friends.