I think this is because LMMS is not signed with Microsoft, witch is completely normal for freeware.
Do you get a popup like this?
You need to scroll out to the right of that popup, where there is a button marked "Run anyway"
LMMS will then be installed.
Also -Welcome to the Forum jburt !
Here are all important links:
http://lmms.io/forum/viewtopic.php?f=1&t=4740
-A few rules and useful forum instructions
If you like to introduce yourself, to the community, go here:
http://lmms.io/forum/viewtopic.php?f=4&t=4480
As new to LMMS and maybe also to DAWs in general(?) perhaps my video Rookie-guide can be useful for you. Link in my signature!