Azure VPN install hangs on Windows 10

Problem

Tried to install Azure VPN client (x64) on Windows 10, but after double-clicking on the installer, Windows Explorer always froze and I had to restart explorer.exe to wake it up again.

Solution

Smart Screen is failing due to some reason. When double clicking on the VPN client (AMD64).exe, you can see CHXSmartScreen.exe process being starter. Kill that process and VPN client installation starts normally.