Apple has been getting a bit carried away with limiting what users can run on their Macs. This is under the guise of security. This is due to the operating system setting a quarantine bit on downloads from random websites. When you launch the app it will report that there is a security problem with the download and will offer to let you move the application to the trash.
Don't do that. Do this:
xattr -d com.apple.quarantine <filename>
Example: