I hope this helps you! Cheers!
Unfortunately, you hadn’t. Instead you listed:
I’m guessing where you mentioned it under “Privacy and security” you meant to put it, but instead you repeated the option listed under Download, which is the option to ask where to save each file.
Would you be able to share screenshots of the messages you’re getting? I’m wondering if it’s all through Brave or if perhaps you’re getting messages through your antivirus, firewall, or something else of the sort. If you disabled Safe Browsing as @SmartyAadi showed you, then Brave shouldn’t be giving you the warning. Even more confusing though is I went to VLC and went to download, but I didn’t get the message. I have Standard Protection on and also have it set to ask me where I’d like to download.
In my case, my default download location is my Desktop. All I did was click OK to download there and it worked perfectly. The next prompt I had was from Windows asking if it was okay to install (which happened after it was downloaded).
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Thanks @Saoiray for helping here, appreciate all your help, always!
Also thanks to anyone who’s taking out time for the community here! 
It varies. Believe it or not, we’re all human. Community Ninja you see next to me means I’m just a normal User like yourself, but I spend a lot of time trying to help people. I don’t get paid for it and there’s no set “working hours” where I’m guaranteed to appear or respond. As such, it’s kind of hard to say when I’ll be around to respond when tagged.
In this situation, you were talking in hours I’m normally asleep. You’re not generally going to hear from me between the hours of 1am through like 9am Eastern Time ( I live in Florida, so just using time to talk about time here, which I’ll refer to ET), because that’s when I’m at least trying to sleep 
When it comes to those who work for Brave, they are active from 8am-8pm ET Monday through Friday (rarely ever actively work Brave Community on the weekends), with starting and ending points varying depending on what they have going on. What’s important is that people like Mattches, Steeven, Evan123, and SaltyBanana who offer most of the support here also are getting lots (hundreds, sometimes thousands daily) of DMs, Support Tickets, emails, and other forms of contact they are having to interact with. That’s not including them reading and responding to issues here on Brave Community. Then they investigate, contact other places to solve things, and some even work on development as well! They stay incredibly busy.
So how long until you get responses is always tricky to answer. This is why it’s often stressed that it’s important everyone be patient and just work on providing as much information as possible.
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Unfortunately, you hadn’t.
Oh no my bad, I meant that i’ve selected under the point “Privacy and security” → “No protection”.
(if you didn’t meant that, please correct me)
Would you be able to share screenshots of the messages you’re getting?
Of course.
antivirus
I don’t have one. (only Windows Defender)
firewall
Didn’t changed anything since I built my pc 2 years ago.
If you disabled Safe Browsing as @SmartyAadi showed you, then Brave shouldn’t be giving you the warning.
It literally happens nothing tbh.
In my case, my default download location is my Desktop.
Mine has always been Downloads but I also tried Desktop a few hours ago but it didn’t work.
The next prompt I had was from Windows asking if it was okay to install
No, I never got any message / warning from Windows when i’ve downloaded something.
Like I already said, it’s very confusing that it is working when I simply enable “Ask where to save each file before downloading” but one I disable this option it appears again on the next download.
I used before Chrome with the exact same settings(imported the settings from Chrome) and in Chrome i’ve only got a few month ago this warning because of a Bug and since the Patch was release, I never got a warning despite “Ask where to save each file before downloading” disabled, idk.
It varies. Believe it or not, we’re all human.
Community Ninjayou see next to me means I’m just a normal User like yourself, but I spend a lot of time trying to help people. I don’t get paid for it and there’s no set “working hours” where I’m guaranteed to appear or respond. As such, it’s kind of hard to say when I’ll be around to respond when tagged.
I’m very sorry!
In this situation, you were talking in hours I’m normally asleep. You’re not generally going to hear from me between the hours of 1am through like 9am Eastern Time ( I live in Florida, so just using time to talk about time here, which I’ll refer to ET), because that’s when I’m at least trying to sleep
My sleep pattern is very broken right now(i’m going to sleep soon), I’m very sorry to disturb your sleep. (I am from LA).
When it comes to those who work for Brave, they are active from 8am-8pm ET Monday through Friday (rarely ever actively work Brave Community on the weekends), with starting and ending points varying depending on what they have going on. What’s important is that people like Mattches, Steeven, Evan123, and SaltyBanana who offer most of the support here also are getting lots (hundreds, sometimes thousands daily) of DMs, Support Tickets, emails, and other forms of contact they are having to interact with. That’s not including them reading and responding to issues here on Brave Community. Then they investigate, contact other places to solve things, and some even work on development as well! They stay incredibly busy.
I respect that, thanks for all this info!
Lmao, it doesn’t disturb sleep. Just means notifications sit here on the site until I’m awake and able to respond. I just wanted to answer you and others on that. And yeah, I hear you on sleep pattern. Between all my health issues, including sleep apnea, it gets tough. Plus most of my life, I worked overnights. But I’ve been switching to try to be up during the days here.
I’m on my way there xd
Btw, just to prep. Mattches is with Brave, he’s Browser Support. JimB1 is another User, but he knows a heck of a lot. I’m hoping one of them will be able to offer the solution that I’m not aware of. That said, it might help if you can provide a bit of information ahead of time, as I’m sure they may want to know in order to offer any suggestions.
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What version of Brave are you using?
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Which Windows OS are you using? (Windows 7, 8, 10, 10 Pro, etc)
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Does this happen for all downloads or only of particular types?
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Is this occurring on all sites or only on particular?
Yeah no problem.
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Version 1.42.97 Chromium: 104.0.5112.102 (Official Build) (64-bit)
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Windows 10
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For all.
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Wdym?
I guess he means that is it only on some websites where you’re trying to download or on all the ones you visit for downloading something.
It’s actually only on these websites that I’m trying to download the programs.
I just meant is does it matter which site you are downloading from or only some in particular. Like if the prompt shows on mozilla but doesn’t show on microsoft or whatever.
No actually it only appears in Brave, I already tried Firefox, Chrome and Microsoft Edge but there’s everything normal.
Maybe it’s also a Bug like it was in Chrome a few month ago?
Lmao, never mind. What I meant is website. Like microsoft.com vs mozilla.com vs any other website. I wasn’t asking about browser. I just was trying not to type in the full urls so I mentioned by website name. But I think you answered enough for now. Hopefully ones I tagged will see and be able to help later.
Like if the prompt shows on mozilla but doesn’t show on microsoft or whatever.
Oh I’m sorry, it appears on every site I try to download the pogram.
Little Update:
I’m still searching for a solution by myself and now I ran into a similar problem and it seems like I can download files without any problems but when I try to download a program, it instantly appears the warning, maybe this info helps you?
I told you that it shows warning only for exe files which are program files
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Interesting, I must have overslept that.