Sounds like you are clicking directly on the *.lua file that is included in the addon's folder.
This is not a file that runs in Windows. WoW effectively incorporates this file into the game and the game uses it to produce whatever effect the programmer was intending (usually :-)).
Your addon file structure should be something like...
C:\World of Warcraft\Interface\Addons\YourNewAddonFolder
Unless there is a problem with your system in that it cannot access the files in that directory, WoW should read the file.
There is a difference between the operating system allowing access to files and the program (WoW) interpreting the data (code) within it. Your operating system has a layer(s) of security that could prevent a user access to the file, which would prevent any application doing so.
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Beth
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