That message is not very explanatory, is it.

I suspect it's some kind of security policy designed to protect you, but just in case, can you confirm that you run a full version of Windows and not the new "S" version that is limited to applications from the Microsoft store?

Does it work any better to download a full installer from this page (scroll down to your preferred language):

https://www.mozilla.org/firefox/all/

In case it's necessary, another possible way to download without a browser is to use the BITSADMIN program (part of Windows). This is a command line program consisting of the following parts:

bitsadmin /TRANSFER getfx /PRIORITY HIGH download-url local-filename

Let's say I want the U.S. English, 64-bit Windows, version of Firefox 55.02. I know that is in this folder

http://archive.mozilla.org/pub/firefox/releases/55.0.2/win64/en-US/

and I can right-click > Copy Link Location for the installer. Then I'm going to save it in the Downloads folder under a shorter file name. Putting that all together (ignore the fact that the forum turns the URL into a link):

bitsadmin /TRANSFER getfx /PRIORITY HIGH http://archive.mozilla.org/pub/firefox/releases/55.0.2/win64/en-US/Firefox%20Setup%2055.0.2.exe %USERPROFILE%\Downloads\Fx5502.exe

To submit that, I select and copy it, then go to the system search box and type cmd.exe and press Enter to call up a command window. (You also can start it from the programs list if that's easier. Assuming you can find it!)

To paste the command line, right-click next to the caret (>) and choose Paste. Then press Enter to submit it. Windows should clear the command window and BITSADMIN should display a few lines showing the progress of the download. Once it finishes, you can close the command window by typing exit and pressing Enter.

Then go to your Downloads folder and try it out Fx5502.exe. Success?