With Mountain Lion, Apple has introduced a new security feature that is intended to prevent users from installing malicious software on their Macs, or at least encourage them to think more about what they install.
As per default, Mountain Lion will reject software that
- Has not been downloaded through Mac App store, or
- Does not come from an "Identified Developer", or, in other words, software that has not been signed.
To work around the rejection, simply hold down the control key while clicking the installer package. Mountain Lion will then warn you, and when you proceed, the software will be installed as normal.
You can also choose to permanently disable the security feature. We cannot recommend this, but if you really wish to, this is how you do it:
First, open your System Preferences and click Security & Privacy:
Then, under the 'General' tab, allow applications from "Anywhere":