No you don't.You just press open kaspersky internet security,go to settings,threats and exclusions,trusted applications,and add the exe and select everything from the the menu like don't scan and all of the other options,then ok,ok, apply and ok.You're done!
Screen:
I'm Macedonian,that's why Opera is in a different language,(because of my brother,he wants macedonian i want english)
P.S:I can understand even Windows on Macedonian