Cannot open executable file saved in External Hard Drive

Hello,
I’ve got something weird with my laptop recently. I could not open an executable file from my External Hard Drive. I mean the executable file is in my External Hard Drive, and I connect the External Hard Drive to my laptop using USB cable, as usual. But I could not execute the file.
Windows give an error message as in the picture I inserted as follow “Windows cannot access the specified device, path, or file. You may not have the appropriate permissions to access the item.” Does anyone have any idea what’s going on? Maybe some Windows setting or some software could cause this? Thanks in advance for your attention.

