Microsoft was nice enough to block any exe's that you download with XP SP2, SP3, VIsta and 7.
To get rid of this issue, just go to the actual exe for the Player, located here:
C:\Users\Username\AppData\Local\rvplayer
and right click on it. Choose Properties, and at the bottom of the Properties Window, choose to Unblock the exe. That should make this problem go away.
Let us know if you continue to have trouble.