A search on install.exe tells you nothing, there could be hundreds of different products that use the name install.exe so you have no idea WHICH install.exe a search result is refering to.
Anyone can create a file called install.exe and I assume people who want to distribute viruses COULD use the name install.exe.
However, as long as you are using the genuine site to update flash player then I would not be concerned about this warning.
All your firewall is saying is that a program that is trying to run wishes to contact the interent, but if you have started the install then you should be OK.
The time to be worried is if your firewall comes up with a messge like this totally out of the blue, when you ARE NOT doing an update.
Then you should check carefully what program is trying to access the interent and if you are happy for it to do that.
Many programs nowadays (like Java or anti virus) check the interent for updates so dont be too alarmed if you get a message like this again in the future.