Gatekeeper is a new security feature starting in Mac OS 10.8. See Apple's Website for more information about Gatekeeper features and benefits.
You can find Gatekeeper settings in System Preferences > Security & Privacy > General.
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 a unique Developer ID. To install other apps, select the option to install from Anywhere.
It is important to only change Apple Gatekeeper settings to Anywhere when it is necessary to download legitimate programs. Permanently allowing applications to be downloaded from Anywhere can expose your computer to security risks from non-legitimate sources.
Always change Apple Gatekeeper settings back to Mac App Store or Mac App Store and identified developers when you are done downloading the apps you need.
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.