This is a Mac OS Setting. When you attempt to install, it will prevent it because the installer package is not from an Identified Developer. To work-around this, there are two things you as a user can do.
1. After dismissing the alert, you can right-click on the install package and choose open. This will present the same alert as before but also give the option to continue which will allow the installation to proceed.
2. Or, you can open the Security & Privacy preferences in System Preferences and in the General tab, and select the Anywhere radio button. Now the install should be able to proceed. However, it's necessary to remember to set this preference back to it's more secure setting after the install is done.