Little-known anti-malware programs display warnings, which are often identified as false positive. Nevertheless, it is recommended to recheck the file with your antivirus software after downloading.
We do not have a download file for the latest version (6.0), but you can try downloading it from the developer's site
Download version 1.1 from Mac Informer
Version: 1.1
Date update: Jan 19, 2015
File name: spelunky_1_1.zip
Size: 9.5 MB