Update
The Download Is Signed Now

From build 5, the Windows download is code-signed. Click More info on the warning Windows shows and it names TSMW Development Ltd as the publisher, rather than calling the game an unrecognised app from nobody in particular.
This is the thing we said we would do, and it is worth explaining properly rather than announcing. A signature is doing two separate jobs, only one of which is about security, and the other one is the reason you are still going to see a blue box for a while yet.
The security half, which starts working immediately
The signature is computed over the actual bytes of DamnZombies.exe. Change one of them after we sign it — a download that arrived damaged, something added in transit, a copy repackaged and passed around by somebody who is not us — and the signature stops verifying. Windows checks that before it runs anything, every time, without being asked.
The name attached to it is not something we typed into a form either. Microsoft validated TSMW DEVELOPMENT LTD against the company register before issuing anything, and the certificate carries a company number, a registered address and a jurisdiction. If the box says us, it is us.
The reputation half, which takes a while
SmartScreen is not only asking whether a program is signed. It is asking whether it has seen it before, on enough machines, going well. A brand new certificate has no history, so the warning does not disappear the day you start signing — and we would rather say that here than promise it is gone and have you meet the box on the next download.
What has changed is what the counter is attached to. Before, that history was tracked against the file itself, so every build we sent you was a stranger with no past, however many people had cleared the last one. It is tracked against our certificate now, so build 6 inherits what build 5 earned, and build 20 inherits all of it. It fades over releases rather than switching off in one, and outside the Microsoft Store there is no amount of money that skips the queue.
The checksum is still there, and still the better check
The SHA-256 of every build is printed beside the download button once you have asked for one. That has not gone anywhere, and it answers a question the signature does not: the signature tells you the file has not changed since we made it, and the checksum lets you confirm the file you are holding is the one this page says we published. It is the check you can make yourself, which is the only kind that does not come down to trusting us.
macOS and Linux are unchanged
None of the above applies to the other two builds. The macOS app is ad-hoc signed, which is what lets it launch on Apple silicon at all, but it is not notarised — that is a different scheme, and an Apple Developer account at $99 a year. Right-click and choose Open the first time, as before. Linux has no equivalent to any of this: chmod +x and run it.
Build 5 is also the first build that points at our new lobby address, and the lobby now asks anything older to update before it will let you into a match — so it is worth collecting even if none of the above moved you. The full first-run walkthrough for all three platforms is on the guides page.