The message appears because the type of file (JNPL format) that you download from Jalview is usually associated with malware. However, I didn't find any traces on the Internet of people complaining about the application being infected, so it appears to be pretty safe. Just remember that you will need Java installed on your PC in order to run the application.
There's also an alternative solution, which is very effective in case your browser is blocking the download by default.
Go to this URL: http://www.jalview.org/Web_Installers/install.htm and download the installer that you require. Since it's an executable, your browser should no longer have a problem with the file.