Frell Darr

I feel like I'm going to be blasted for this, but I'm a MacBook noob and trying to figure out how to get CoH installed. And I feel like an absotlue idiot. I tried to download the link in step 1, but my Mac won't install it because it says it needs to be updated so it can be checked for malicious software. Am I doing something wrong? Or is there a step that I'm missing? Any help would be greatly appreciated!