It might be the ordinary UAC prompt that Windows shows when running a downloaded EXE. In English it reads something like "Do you want to run the following program from an unknown publisher?" Usually you just click 'yes' and it runs. If it's signed, it shows a message mentioning the publisher. The Construct 2 installer is digitally signed and you can see the message asks if you want to run the file published by Scirra Ltd and the warning dialog looks less severe (they use a different icon IIRC).
Digitally signing any executables you publish is a very, very good idea. You should definitely do it if it is a commercial game. It's out of the scope of Construct 2 though - you'll need to purchase a code signing certificate and look at Microsoft's documentation on the subject.