The error message is from the Gatekeeper security system built into OS X. According to the help page, this particular message can appear if the application package has been tampered with (e.g. its signature no longer matches the developer's certificate).
This may be harmless, or it may be an indication that the package has been hijacked and contains malicious code. The former is probably more likely, but I would email the developers before opening the package, just to be sure.
The help page for Gatekeeper gives more details, including disabling the feature if you'd like to go ahead and launch the app anyway.