It's a Windows-specific issue, not totally related to the Electrum installer file.
It usually appears if the USB Flash Drive's file system isn't the standard FAT/FAT32.
But try to click "
Yes" and it should be copied without issues.
If you want to check the file's integrity after copying it, verify its signature by following this guide:
https://bitcoinelectrum.com/how-to-verify-your-electrum-download/