can you click on "more info"? It's usually in the upper part of the message, in the center. The Run anyway button should be there after your click more info. Other wise, wait about 5 minutes, open windows defender (you do have to wait a second for it to show up in the list, hence the wait 5 minutes) and then find the quarantine list, where you can add an exception or white list it.
I personally just add folder exceptions for my 'common' folders, in my steam installation directories (I have multiple hard drives, so you may just have to do this once). If you just have the one hard drive, it is most likely located in C:\Program Files (X86)\Steam\steamapps