Acronis Backup 12.5: Execution of the .exe installation file must be explicitly allowed due to security settings

Symptoms

On a machine with Windows operating system, you try to start Acronis Backup .exe installation file downloaded from the Internet or copied from another machine. After you double-click the installation file, mouse pointer shows some activity, but then nothing happens: installation is interrupted with no visible errors and installation wizard is not shown. If you check Windows event log, you see no crashes.