The only time I get a warning message is with a new RB installation or exe file. I can't remember exactly what it says, but it's along the lines of "An executable file can ruin your day, do you really want to run this file" with a yes/no box. There is also a tick box to prevent the warning next time. If the file is from a trusted source, then you are fine. It's to stop virus executables that you might run if you are not PC savvy.
Is this what you are seeing?
Edit: Sample screen capture below - this isn't the anrb.exe, just a sample exe file