Installing Haxe is easy with one of the following automatic installers:
Some antivirus software reports the Windows installer as infected. This is a false report and you can safely run the program on your system.
If you encounter this, please contact the antivirus vendor so they can fix this false positive as soon as possible.
You can read more about this issue here.
You can also install haxe manually, build the compiler from source, use the latest ready-built svn version or use a package in Linux.