When you are downloading some application from Internet and starting to install it in Windows 8, it is being checked with the help of special utility called Windows Smart Screen. If application doesn't have digital signature and sometimes even if it has it, you may receive the following warning:
Windows protected your PC
Windows SmartScreen prevented an unrecognized app from starting. Running this app might put your PC at risk.
To continue installing you should click More Info link and then Run Anyway button.
The information about application is being sent to Microsoft servers by Windows SmartScreen for analysis if user can run the application without harm for his or her system or not. There are security concerns related to sending application details to Microsoft outlined here:
The Windows SmartScreen check is enabled by default but you may disable
it through Control Panel -> System and Security->Action Center.