This seems like a really bad idea - a link to download a potentially malicious .exe from a group of malware researchers. Or is this a test to see if anyone is crazy enough to run it?
The instructions say to run it in a virtual machine because some of the challenges may be malicious.
It is actually the "terms and conditions" (which people are far less likely to read than the instructions (which they are also likely to skip)) that say that.
I hope (but don't suspect) that they ran this by a lawyer for potential liability analysis should their test malware do something particularly bad.
I doubt the first program does anything malicious, and you have to crack that one to get to the next one. Hopefully they designed the challenge so that you really have to know what you're doing before you get to anything bad.
I'm reminded of the cartoon where a man is feeding money into a vending machine labeled "Gullibility Test $1.00"
Having just reversed and bypassed licensing (my trial had run out and I was waiting for them to send me my license key having just purchased it) my first piece of software (ILSpy decompiling a DLL and recompiling) I think I'll give this a crack. I've created hacks for games which required a little bit of reversing with Cheat Engine's disassembler in the past, so I think this'll definitely be a challenge!