Code SIgning Certificate

It is something that I yet have to do myself, but by the information I collected so far, signing an executable is relatively simple:

1. Acquire a code signing certificate and import it into your Windows Certificate Store (Win+R, MMC, Ctrl+M, pick Certificates)

2. Build your Unity game as normal, ending up with an unsigned .exe

3. Use Microsoft SignTool as described here: Authenticode Code Signing with Microsoft SignTool

Take this with a grain of salt because I haven't gone through this process myself.

I can't make any good recommendations for cheap certificates as most currently offered at low prices are somehow associated with Comodo (they have been breached not too long ago, thus the price reductions).

Cygon4's answer is a little out-dated. To add some more info, Microsoft's up-to-date documentation on Signtool is here:

https://docs.microsoft.com/en-us/windows/win32/seccrypto/signtool

Windows SDK's have moved as well, to: "C:\Program Files (x86)\Windows Kits\10\bin".

You want to install an up-to-date version of the Windows 10 SDK and use Signtool from that, as Signtool has changed a bit over time.

For me, to use signtool it was simply:

1. Build Unity project

2. Setup signtool path in System Path Variable

3. From the command line: signtool sign "build.exe"