I've seen many viruses/malicious VB scripts get executed when accidentally double clicked or through fake shortcuts redirecting to some viruses causing the Victim's PC a serious damage. But nowadays latest windows distributions like Windows 8.1, 10 have this feature,
This feature in windows is extremely good because it shows what is actually executed even the name of the exe so one could easily find out what they are actually executing. I have also created the shortcut before executing the application and the feature works fine still. But unfortunately running a full scan in my PC with Kaspersky Total Security 2016 which is not a trial version I found that my PC has been infected by a virus and I removed. Since I'm paranoid of security I run scan weekly once I analyzed all the files i have downloaded from the internet on that week and found that the virus came along with the zip package. The virus wasn't bundled it is itself found as an separate executable and I have executed by clicking a file. but why does this message(shown by windows failed) to warn me? I have scanned the zip file with my antivirus before opening it and it said me no threats found but fortunately found on heuristic analysis when completely scanned my PC. I'm quiet sure it's not a false positive because I done a Virus Total analysis.
P.S I'm not blaming Windows but I just want to know how does a malware overcomes this facility. (Off topic but important for security) Free upgrade for Windows 10 ends on 29th of July.