Have you got Java installed for Windows?
I'm presuming that you have the Java Runtime Environment installed.
If you're not sure visit the Java web site at the following link:
https://www.java.com/en/download/installed.jsp
Click on "Verify Java Version".
If there is a newer version available for your computer - download and install it. The latest version is Java Version 6 Update 30.
Make sure that you download the correct version for your computer - the web site should automatically offer you the correct version anyway.
What the error means is that the file (the installer) cannot be verified to make sure it is a genuine download. All Java downloads are signed with a specific security certificate. When you run the installer for the first time, this certificate is checked against an online database.
If the cerfificate cannot be checked - you may get the warning you have got - "The publisher cannot be verified" - do you want to continue...
If you have the option to continue and you are happy that you have downloaded this file from a trusted site - such as the game manufacturer then click OK to continue. You are not always given the option to continue.
If you downloaded the game from somewhere that isn't trusted such as a file sharing web site or a warez site - then it isn't wise to continue.