OK, Apple has finally tightened up the requirements for running executables and Applications on the Mac. You now need every application to be signed and the components too. This has gotten complicated and you will get messages like this.
The solution is pretty unintuitive. When you get the dialog, it actually asks you to throw away the executable. Instead, you should go to System Preferences/Privacy 7 Security/General and you will see an item that says Allow for that particularly executable.
Others are saying you can disable all protections, but that seems pretty extreme, so this let's you do it one executable at a time.
Right now this is a pain but long term it should be safer than the current wild west of the PC world.