Unless it's changed recently, it's just a right-click and then Open on the app. Older versions let you select radio box in the Security tab in the settings app to allow all apps.
That sounds misleadingly easy. The misleading part is that if you yep to open it the normal way, instead of getting an error that tells you that you can do that, you get an error that makes it sound like the developer did something wrong and there's nothing you can do.