I wonder that people actually object to offering an executable which is an installer for download. When, at the same time, mainstream companies like Adobe and even FOSS portals like Sourceforge not only do the same, but even worse.

They distribute executables that will download content from untrusted sources without any possibility to verify or control what is being downloaded, and they use drive-by installs (mostly McAfee or Ask) to which the user "consents" by not reading the small print. But... that's OK.

This is a solution to prevent future browser warnings though. If you have an installer that doesn't change often that downloads an executable and runs it, you don't get the warning for the installer once it's been around long enough, and future patches are handled outside of the browser to avoid browser warnings.

What can I do to make this process nicer for downloaders?

If someone who doesn't know much about computers finds some random website that has an executable or installer, and tries to download it, I am glad that the browser has some form of warning. If you want to make it nicer for players, and it's intended for a wider audience than people who know you and would naturally ignore the message, use a safer form of technology, such as a server-driven game, instead of relying on strangers to trust you. I doubt you're distributing a Trojan horse but I generally don't trust people on the Internet either.