I install game and CIS found in setup.exe this trojan - TrojWare.Win32.Downloader.Agent.~KKM@1087216. Game break and don’t install. Repeat download game from site, CIS again found this trojan. This trojan or module of game?
Welcome. 
Can you upload the file to Virustotal?
Access denied to directory “Quarantine”. File here, as i understand.
This means the file is in CIS’s Quarantine File (Anti virus > Quarantined Items).
You say you’re downloading this game from a website. Can you please PM Me the link to the site/download?