Ah, that is usually an antivirus app getting in the way. What antivirus app do you use? You need to make sure all these apps are in its exceptions lists:
eu4.exe and dowser.exe (in the Steam EU4 folder)
C:/users/{username}/AppData/Local/Programs/Paradox Interactive/launcher-v2.2024.3/paradox launcher.exe
C:/users/{username}/AppData/Local/Programs/Paradox Interactive/bootstrapper-v2.exe
Then the game should run from Steam/our launcher, and enable all the DLCs.