[inanov]

You should allow apps downloaded from places other than App Store. Go to Security & Privacy under System Preferences, and on the general tab, select "Anywhere" under "Allow apps downloaded from:" option.

[Terretta]

This is a terrible idea. DO NOT tell people to do this.

The right answer is in a sibling comment, Right-click, Open. That way you retain the decision of what's allowed to run.

It's not even an inconvenience, once you've run it, it won't ask again.

[thrownaway2424]

^ correct answer.

Thanks!