This is a known issue.
It seems that some anti-virus programs picks up the game exe file as a virus.
Its been known to happen with other AV programs as well such as McAfee, AVG and Avast.
5. You cannot install Train Fever on Steam
This is most likely an anti-virus software problem. We experienced problems especially with McAfee and AVG anti-virus software. You need to disable the anti-virus software during installation. In some cases it’s also needed to disable the anti-virus software for starting the game.
What I would recommend you do, is to send in the file to your anti-virus provider(if possible with a description/explanation of the file) so they can look at it and white list the file.