I set the trainer to run as admin, but it brought up the same menu, asking me to select a program to run a .tmp file.
Baz, this may be happening because of the Windows Defender false flag issue others have mentioned. When that program was blocking mine it would automatically delete the file, causing that same pop-up you're seeing to appear. Windows Defender just really doesn't like this particular trainer for some reason.
So as others have said, you'll have to create an exception or uninstall Windows Defender. I suppose other AV programs could be causing the same issue if you're not using WD.