Turned on protection on one of my links and now it seems like jdk-8u131-windows-x64.exe is being blocked
I can see this on monitor / data filtering
category = computer and internet info
name Mictosoft PE
I'm lost how I put in an exception - or where to put in an exception.
Also the web page that comes up is file transfer blocked
You probably attached File Blocking Profile into Policy. Click on the security policy that this traffic matched and apply changes on "Actions" tab.
I usually create Application filter based rule to permit software updates, Custom URL category based rule where I permit download of executables from limited sites where executables come and then rule below permits general web browsing with file blocking profile that in addition to other unwanted stuff blocks executables.
Profiles are Objects > Security Profiles.
after you've verified which profile is attached to your security profile:
you can check which file types are being blocked (likely exe or PE has been set to block in your profile)
to block execyutables from most pages but still allow updates (java, windowsupdates, filezilla,....) you can create a security policy that allows access to certain 'good' URL categories and allow downloading executables, and a second policy to block all other exe downloads
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