Delete what you had downloaded and installed at your USB-Stick. Then download the portable version again from here calibre.com
and save it on your desktop or download folder of your pc. If your Antivirus is telling you of a possible risk and ask you for further inspection then tell him the file is ok and no virus. Once you have downloaded the file you can extract it to your USB-Stick. And again, if your Antivirus is telling you about risks trust him that everything is ok.
When you have install the program and start it the first time and your firewall is asking you about outgoing connection, please allow it because if you don't allow it you can't download metadata or recipes later on. Hope this will help you a bit.
Please take a look as well on this