Upon installation, you may be prompted to download and install Microsoft .NET framework and Microsoft C++ Visual Runtime. It's OK to put these on your computer.
I recommend reading the tutorial the first time you run Connectify Hotspot. It's an easy program to operate and use, but some of the terminology may be unfamiliar to you.
The Connectify website also has some helpful FAQs and instructions. You can (and should) periodically check the devices that are connected to your hotspot to make sure you don't have any unwelcome guests.