Is it normal that the cmd window pops up downloading something, when instaling brothers in arms: hell's highway ? Im a bit paranoid about things like that due to past experiences

Yeah, that's probably just one of the jillion dependencies getting downloaded/installed since Windows doesn't have a proper package manager for system components.

^this. The installer or Galaxy installing some dependency (like VCRedist). Lots of Microsoft low level stuff uses the command line. No worries.

When the command window appears during a GOG install of an older game, it's usually running this:

https://docs.microsoft.com/en-us/windows/deployment/planning/using-the-sdbinstexe-command-line-tool

It allows them to install compatibility fixes that only affect that specific game.

Thank you everyone for your help with this matter! it helps a lot knowing that there is nothing to worry about