Hello Kenneth, Ngrok is not an “official” software and it’s not registered on Windows. So, most anti-virus just report any .exe file as virus that is not registered in Windows store.
I’ve been using it for years and I think you can trust the software

winzip don’t allow me to open the file as it is not safe. What is the best way to go onward?

Take a look at this article.

Hello again Kenneth. As Steve suggested, you’ll have to force or whitelist the file in order to run it. Most anti-virus are pretty basic, they just block every single .exe file and they don’t do any real scanning.