Gatekeeper is new security feature of Mac OS 10.8. See http://support.apple.com/kb/HT5290 for more information about Gatekeeper features and benefits.
By default Gatekeeper will only open apps purchased and downloaded from the Mac App Store or from a list of “identified developers” that have been given the ok from Apple by obtaining an unique Developer ID. To install other apps, select the option to install from Anywhere.