As soon as I click any signal for copying and the window appears saying "Start Copying in Meta Trader", and I click it, instead of opening my MT4 terminal as it usually happens, now I am geting option for downloading MT5 Setup at bottom left corner of the window as shown in the picture. What should I do?
Just follow the step by step guide: https://www.mql5.com/en/forum/189731
Access Signals and/or Community tab from your MT5 terminal:
If you don't see the terminal, press ctrl-t.
If not logged in, do so with the Community credentials.
As a result, the signal should directly be ordered and "installed" in the active terminal.
You should place MT4 related topics in the MT4 section- instruction is for MT5.
In MT4 you will preselect the signal on mql5.com webpage and remember the name.
Enter MT4 and go to "Signals" tab.
Click on Signal column to get the signals sorted by name.
Select the signal and press "to favorite" on top of the signal and/or "Subscribe for xxx <currency>" button.