Recent versions of Windows (and online virus scanners) will often reject unsigned executables by default. If you plan on distributing a game outside of Steam, you should purchase a Windows code signing certificate (there are many providers out there, each having different pricing and guarantees).
However, from what I've heard, creating a .msi installer (using an utility such as WiX Toolset) may make your game executable "immune" to code signing checks. (The installer will still display a warning message upon being run.)