That's a default. An .exe file is an executable, it is what starts up and controls the program. For instance, I am using Google Chrome at the moment, I launched that from the Chrome executable.
Executable files do have the potential to harm your computer, any software does. Your browser is just trying to make sure you are aware of this and want to download the file. You want to choose "Save", then run (I believe that is what you should do, I always do it in case the installation is messed up somehow, I still have the downloaded file).
On the positive side, the programs that do actually cause havoc are located on untrustworthy sites, usually lurking in illegally downloaded items (people who are smart enough to remove copyright protection are smart enough to infect the file with a virus). Not EA, if a scandal like that happened, they'd lose a LOT of business.
Create a World will not harm your computer, it is perfectly safe to download it. I did this today, no problems here (touch wood).
