docs: Explain how to report a security issue.

SECURITY.md

@@ -36,5 +36,15 @@ SOFTWARE.
 
 ## Reporting a Vulnerability
 
+> [!CAUTION]
+> Please do not report any security vulnerabilities through GitHub issues.
+
 If you detect a vulnerability, contact the [PyAnsys Core team](mailto:[email protected])
 mentioning the repository and the details of your finding. The team will address it as soon as possible.
+
+Please provide us with the following information:
+
+- Any specific configuration settings needed to reproduce the problem
+- Step-by-step guidance to reproduce the problem
+- The exact location of the problematic source code, including tag, branch, commit, or a direct URL
+- The potential consequences of the vulnerability, along with a description of how an attacker could take advantage of the issue

doc/changelog.d/1605.documentation.md

@@ -0,0 +1 @@
+Explain how to report a security issue.