This is a false positive and can be safely ignored. dqxclarity is an unsigned executable that changes frequently - signing a certificate from a trusted authority costs $70-$500 USD per year, which isn’t worthwhile for a hobby project.
You may need to add an exception in your antivirus software to mark the executable as OK.
It’s recommended to add an exclusion for the entire dqxclarity folder.
Your antivirus is removing dqxclarity from your computer after extraction. Add an exclusion for the entire dqxclarity folder in Windows Security (or your antivirus software of choice), then re-extract the zip.
Make sure you have clicked Add DragonHook in the Installation Configuration tab, as well as downloading the English language pack in the Language tab. This both enables loading of language packs as well as supplying the dqxclarity team language pack - this is what translates in-game menus into English.