Gatekeeper is new security feature of Mac OS 10.8. See http://support.apple.com/kb/HT5290 for more information about Gatekeeper features and benefits.
You can find Gatekeeper settings in System Preferences > Security & Privacy > General.
To disable Gatekeeper, click on the lock on the lower left of the window and type in your system password.
By default Gatekeeper will only open apps purchased and downloaded from the Mac App Store or from a list of “identified developers” that have been given the ok from Apple by obtaining an unique Developer ID. To install other apps, select the option to install from Anywhere.
Note: In most cases, Gatekeeper may only need to be disabled temporarily in order to install and initially launch an application. After that, Gatekeeper can be re-enabled to only allow applications from the Mac App Store and identified developers.