Message on Installing

I have just downloaded Spyware Blaster (I did have it previously, but had to get my hard drive wiped recently)
I am getting a message when I try to install the program - it's probably nothing, but wanted to check first.
'External Protocol Request'
An external application must be launched to handle this file......... There is more to the message if that info is needed.

Sorry if this is a silly question but it says to cancel this request unless you are sure it is not malicious - got me a bit worried.
Thanks