ALLOW SINGLE APP:
If you would like to allow just one specific application to run:
Hold down the Control key and click the application icon. From the contextual menu choose Open.
A popup will appear asking you to confirm this action. Click the Open button.
ALLOW ALL APPS:
If you would like to allow all applications from unidentified developers to run:
Select System Preferences from the Apple Menu at the top left of your screen.
Choose Security & Privacy from the System Preferences menu.
Select General from the tabs at the top of the Security & Privacy page.
Click the Lock icon at the bottom left of the window.
Enter your administrative username and password and click Unlock
Select Anywhere from list of places to allow downloaded applications from.
A popup window will appear asking you to confirm your selection. Click the Allow From Anywhere button.