Both files is the Win32 PE Executables.
1. Downloading any executable file is potentially unsafe. Especially if it unknown executable and unknown source.
2. HD3.InternalTool (HD3_InternalTool.exe) downloads files from HoMM3 HD update server including executables (see point 1).
3. HD3.InternalTool (HD3_InternalTool.exe) copies, moves, and launches executables and this is VERY suspicious if it does unknown program.
4. HD3.Update (HD3_Update.exe) - is installer built from InnoSetup script. It installs main HoMM3 HD files including .dll's and executables including those which provide an update, i.e downlioads files incl. HD3.Update and HD3.InternalTool, renames it to HD3_Update.exe and HD3_InternalTool.exe and laucnhes it (see all previous points).

It is all needed for simple in use and quick automatic update of the HoMM3 HD (Unless, of course, an overly suspicious antimalware does not interfere).

If the developer were a well-known large company, then these files would be in the white lists of all antimalware programs. But it not.

Maybe I should make less suspicious and more transparent version of HoMM3HD, but it will only informs you about new version and offers to download it manually by internet browser.