This is likely caused by your antivirus program.
We write a cache file to the CKII folder in the user directory and some anti virus programs interpret that as malicious and block it.
If you make an exception (or temporarily disable your AV) for CKII and backup and delete the files in C:\Users\<username>\Documents\Paradox Interactive\Crusader Kings II\gfx\flags, it should work properly (although starting the game the first time after this might take a little longer than usual since the cache needs to be rebuilt).
We write a cache file to the CKII folder in the user directory and some anti virus programs interpret that as malicious and block it.
If you make an exception (or temporarily disable your AV) for CKII and backup and delete the files in C:\Users\<username>\Documents\Paradox Interactive\Crusader Kings II\gfx\flags, it should work properly (although starting the game the first time after this might take a little longer than usual since the cache needs to be rebuilt).