To limit the risk of malware infections, the Gatekeeper feature of Mac OS X restrict the download and installation of applications to the Mac App Store and identified developers, namely to all the apps that follow Apple's PLA (Program License Agreement). But there are plenty of interesting apps from trustworthy developers which are not available on the Mac App Store and you might want to try them out. This tutorial explains how to easily run apps downloaded from "unknown" sources on your Mac.
Open the Apple menu > System Preferences > Security & Privacy > General tab. Under Allow applications downloaded from select Anywhere:
Download and install the app. To launch the app simply Ctrl-click on its icon > Open.