Is GIMP a safe download?

If you follow the links provided by www.gimp.org (probably to gimp-win.sourceforge.net) then, yes absolutely, thousands of people (including myself) use it all the time! Gimp even comes preinstalled in some Linux distributions. Gimp is licensed under the GNU GPL which means you're legally allowed to download and even make copies of it if you want to (there are many other free/open source software programs out there as well). Windows gives that message for any program you download from the internet.