Compile altcoin, Errors And Issues

Hello!

I wounder if there is anything strange going on while compile an altcoin under linux to windows platforms (cross-compile or something) ?
As it is, the compile works, it creates the exe under the linux OS but here is where it get's interesting.
When i try to download the exe file from the local computer to my own windows based comp, Chrome says "No No" and want's to trash the file.
Ofc you can ignore that and just download it anyways.
But when you have done that and trys to run it for the first time, Windows complains about it saying it has detected something that it does not want to run (ofc even here can ignore that and just run it).

My question is tho: WHY does it do that ?

It's an old coin i played around with for about 3 years ago, all i did was change the output of coins per block and try to compile it.

I did try to compile it from my own Windows comp and it did compile, but now this is strange...not i can't run the file ?
It does not give out any errors or anything like it...and "trys" to run but nope nothing!

Anyone with some experience to this that can explain it to me?

Thanks for the help!