You downloaded the wrong architecture (32-bit on 64-bit system). Go back and download the version.
The M125a is a multifunction printer, but the scanner uses a (WIA/TWAIN). After installing the full driver: driver hp laserjet mfp m125a windows 10
The standard M125a is a device (no Ethernet or Wi-Fi built-in). However, if you have connected it to a USB print server or shared it via another PC: You downloaded the wrong architecture (32-bit on 64-bit