If you have an anti-virus program (and I hope you do), check to see what, if any, kind of scan is initiated upon program access.

This is the point where your anti-virus, unless told otherwise, will perform a scan when a .exe file is opened.

I've seen some people have their anti-viruses set to do a full system scan every time a .exe file is opened. This, fairly obviously, is overkill for safety and extremely slows down the system.

Without knowing which anti-virus you have, I can't be of any more assistance regarding where to go to check/change those settings.