This could be due to two possible reasons:

  1.  You do not have administrator privilege to install software in your PC.  Right click on BIConnector-Trial-Version-x64.exe
     and see if you see a "Run as Administrator" option. If you do not, please contact your IT and request help with the installation.
  2. The directory in which BI Connector executable is downloaded (typically Downloads folder) might not have the privilege to open/run programs.  Copy the BIConnector-Trial-Version-x64.exe to another folder (say Desktop folder) and then Open it.