It is a part of Microsofts User Account Control. Basically, it is a security warning that is designed to alert you whenever a software program is trying to make administrator-level changes to your computer. TurboTax needs to have administrator rights in order to install and run on your computer, so when you click "No" the download won't open because the software will not work without these settings. Of course, it is you decision to allow the installation, but the warning is designed more to alert you for unknown programs that are attempting such changes, not ones you are intentionally downloading.
