This is because of a new feature in Mountain Lion known as 'Gatekeeper'. Following is a brief description:
Choose where apps are installed from:
Gatekeeper gives you three security options for downloading and installing apps for your Mac. You can download and install apps from anywhere, with the same protection that OS X Lion provides. For maximum security, choose to allow only apps from the Mac App Store to be installed. Or download and install apps from the Mac App Store and apps that have been signed with a Developer ID.
Gatekeeper alert:
Mountain Lion alerts you if you download and try to install an application from a developer who does not have a Developer ID.
Manual override:
If you receive an alert that an app is from an unidentified developer, you can still choose to install it. Control-click the installer or the application icon to reveal a contextual menu. Choose Open and you’ll see a dialog that allows you to install the application.