Click activity and Recording Not Working

Hi,
I have downloaded an .exe file and when i clicked on that to install it. it got open but for some reason i don’t want to install it now so i am trying to close it but it is not working that is i am getting an option “are you sure you want to quit this” and i am clicking on this but for some reason its not working even i tried with Recording as well.
Can anyone please help me in this?