This has been reported by users who have "pandas" security software. It may also happen with some other security (firewall or anti-virus) software.
Use more sophisticated anti-virus software, such as AVG. The download file is safe.
Perhaps your anti-virus software is blocking Python because Python does provide powerful libraries, which could be used by malware to damage your system. But the problem in that case is the malware, not Python.
It is very true that (as with any software) you should not run Python scripts provided by unknown sources.