Starting with OS X Mountain Lion, Apple introduced a data execution prevention routine called Gatekeeper, which will block the automatic execution of programs that are either unsigned by an Apple Developer, or not issued through the App Store.
This routine prevents potentially malicious programs from running and harming the system or your data. However, while beneficial, it can also prevent legitimate programs from running, where it issues a warning that the program is not signed and will not allow it to run.
If you regularly use third-party programs that give this warning, then one option is to turn off Gatekeeper in the Security System Preferences, but this will prevent the service from helping secure your Mac.
To overcome this, there are two options. The first is to right-click the program and use the "Open" contextual menu item to initially launch such programs. The use of this menu suggests you explicitly intend to open the program, instead of perhaps inadvertently launching it with a double-click. When you do this, a warning message will still appear; however, if you choose the option to open the program, then a Gatekeeper exception will be made for it.
If you have installed OS X Mavericks on your system, Apple has introduced another means for bypassing Gatekeeper. If you open a program that issues a Gatekeeper warning, then even if you have dismissed the warning, you can go to the Security pane of System Preferences, where you will see a message under the Gatekeeper settings about the recently blocked program. Next to this message is a button titled "Open Anyway," which if clicked, will launch the program and make an exception for it in the Gatekeeper database.
Even though the extra steps to use this new feature make it less convenient than using the contextual menu, it is still a new option for those using OS X Mavericks.