Sounds like a Windows problem to me. Try installing Linux... no, no, just kidding (sorta).
See if this helps:
http://support.microsoft.com/kb/883260In short, right click properties->general->unblock. Other information suggests that the error message means that you haven't got the proper dlls installed. Maybe get the latest gigabyte of "updates"? Nasm shouldn't require anything "special"... I dunno, from afar, Windows looks like it's getting worse and worse... but I never liked it anyway...
Building from source on your own machine also "should" work, but you shouldn't have to do that! Try the "unblock" solution first, and see if that gives any joy. Maybe, if you downloaded the "installer", try downloading the executable - or visa-versa?
Get back to us if you can't get it to work - this isn't "supposed" to happen!
Best,
Frank