Can’t install PDF Reader due to the “Unknown Publisher” warning?

When you install PDF Reader for the first time, you will get an unknown publisher warning from Microsoft Defender (Windows' built-in antivirus program). The message looks like this (using Surface Pro as an example):

To continue the installation, please follow the instructions, using Microsoft Surface Pro as an example:

1. Click “Run Anyway” button to continue the installation. You may need to click "More Info" if the warning message hides the button.

2. Then click “Run Anyway” to continue the installation