This has to be a false positive, I have never had this issue before. However, if you have downloaded the Moodle for Windows Xampp installer, then please be aware that your Windows is likely to bounce it. First, your AV you have already allowed it to release the moodle.exe file. Second, make sure that your User Account Control is set to minimum and you install as Administrator.This should work now.
As an aside, the Xampp installer is very limited. It is really designed for people with few skills and lots of patience. If you have an understanding of ICT, and you know what servers and preprocessors are, then I would seriously recomend that you install Apache, PHP and MySQL, and dump the Xampp installer. In the meantime, if you do not know what these things are, you can learn a lot about Moodle, learn what they are, and then at some time in the future, dump Xampp. A better practice.