An admin asked you to run a check on your computer. Download the program and run it - it will ask for administrator rights, show you what it collects, and run the diagnostics.
A single file - nothing gets installed.
Windows will ask for administrator rights. The check needs them to read the records it looks at.
The program shows what it collects before it starts. You can also read that here first.
Progress is shown and the window closes on its own.