See #2099 also.
Installing CE is a multistep process.

1. Download the installer from the CE website.
2. Run the installer.
3. The installer connects to a second web address (cloudfront.net) to download more files, after which the installation process continues.

Situations that might cause problems installing Cheat Engine.

• You have disconnected from the internet before step 2.
• You are using a VPN, proxy or a PiHole.
• Your ISP is blocking your connection to the second web address.
• An anticheat has been installed by a game you have played.

Just add an exclusion for your browser's download folder in Windows Security > Virus & threat protection,
and disable Windows Reputation-based protection. You may also need to disable any 3rd party firewall and/or antivirus software.

NOTE: You may also need to add an exclusion for your temp folder C:\Users\<username>\AppData\Local\Temp.

Video best viewed full-screen.

(Updated video. Note, the current 7.3 installer actually installs CE 7.4)