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Well if you are installing the patch then you are installing files to your computer, so that message makes sense, it could be from your virus protection, or if you did not download it and tried to install it direct from the internet.

Regarding if you have a legit copy, did you buy it from a reputible retailer?
 
Well does the CD have a Paradox logo on it?
It could depend on what version you have whether you need to have the CD in the drive, there are legit copies where you do not need the CD in the drive.
 
It could just be some difference in the two operating systems.
What does it say on the reverse side of the CD?
Should be a name and a serial number.
 
I did ask for the serial number.
 
I will check into it.
 
I had asked Florian to take a look but he was really busy and may have missed it, I will double check with him.