The default setting is to allow apps from the App Store and identified developers that have signed their apps.
When launching a file downloaded from the internet, you may encounter the following error:
Change Gatekeeper Settings on Mac OS X Mountain Lion
To allow unidentified developer apps to install, you must change the default setting in System Preferences.
1. Open System Preferences.
2. Select "Security and Privacy".
3. Click the Lock icon and enter the administrator username/password to unlock the settings.
4. Under Allow Applications Downloaded From, select "Anywhere".
5. Select "Allow from Anywhere".
You wil now be able to install apps from non-identified developers on Mac OS X.