On the Mac? That's fine, go to the security & privacy entry in Settings and click on Launch Anyway, or temporarily change the "Allow Apps From" to everywhere. Again dont worry, it's safe, those messages are just Apple being over protective, which is mostly good. So long as you know what you're using is safe, it's ok to change the security setting so you can launch it. As soon as the app has launched you can change the security setting back so that you can be sure the apps not allowed to do anything untoward
(That stuff is going to get a whole lot worse in macOS Sierra, which I'm using now. Basically Apple wants to try and force as many people to use the Mac AppStore as possible, thats what all of that nonsense is about. On one hand it has it's merits. On the other it scares people off from legitimate apps that aren "Apple Authorised" and believe me, some massive multi-national companies suffer from those same warnings because they won't bow down to Apples will.)
Sorry for waffling, I've just had my morphine lol (really)