If I have read your post correctly then you are talking about an application as opposed to a website, and for that you would need a code signing certificate. Certificates that sign websites are different so first and foremost decide what it is that you are producing and want to sign.
Having decided that then you need to decide who you will use to supply your certificate. Typical sources would be VeriSign, Thwaite or Globalsign to name but three. All charge different prices but essentially do the same thing.
Once you have the certificate then the installer that you use to build your application signs the code files you select and the actual installer (msi or exe) itself.
That should eliminate the message that you now see warning people about potentially dangerous files that they are about to download.
I cannot stress enough however that you need to be clear about which type of certificate you need BEFORE you go ahead and buy one. I think from your description you are talking about a code signing certificate but do check first.