Mac OS - Installing "unidentified developer" application

If you download app outside of App store and wants to install them, you may see the following message

This is because you have a security setting that prevent these unauthorised application to be installed.

So, to install these application, go to System Preference -> Security & Privacy -> General Tab

Then, click on the lock icon to allow modification.

Then, change the following setting to Anywhere.

Save the setting and you will now able to installed any application.