Considering your on a basic knowledge in computers, ESET does bundled called HIPS (Host Intrusion Prevention System) design for prompting any changes may happen to your system and applied as a rule, so generally don't play cause it will show pop ups as very technical and capable for experience users unless you have assistance to guide you.
You mention for downloading malware samples, its a dangerous part to run in a host system/real system caused its an instant infected computer so you need an isolated environment like a Virtual Machine or another computer.