If you want to stop receiving these warning messages, you can change your settings to allow opening apps downloaded from anywhere, not just the App Store or identified developers.

You will still get the warning message, but this time you have an extra option to click an 'Open' button, which will actually launch the application - bypassing the security setting. Instead of using your right mouse button, you can also click the file with your left mouse button while holding the Control (ctrl) key to access the same context menu.

Clicking that tells the operating system you explicitly want to open this file. When you click the file you want to open using your right mouse button (instead of double-clicking with the left button), you will see a context menu with several options. Workarounds Right-click or Control-click to open