The website that hosted Nazcow Screen Saver is blocked by default in all three of the browsers currently installed on my computer and flagged as malware containing, so downloading things from it isn't safe.
However, if you really want to install the screensaver or if you already have the installer saved on your PC, go to VirusTotal's website, upload the setup file by dragging and dropping it into the respective box, then press the big Scan It! button. The online service will scan your file with a wide array of malware detection engines and, once the process is over, it will tell you whether the file is safe to use or not.
Even if the setup file downloaded on your computer contains malware, it won't actually compromise your PC unless you run it.