Step One
Select System Preferences from the Apple Menu at the top left of your screen.
How to Open Applications From Unidentified Developers in Mac OS X Mountain Lion

Step Two
Choose Security & Privacy from the System Preferences menu.
How to Open Applications From Unidentified Developers in Mac OS X Mountain Lion

Step Three
Select General from the tabs at the top of the Security & Privacy page.
How to Open Applications From Unidentified Developers in Mac OS X Mountain Lion

Step Four
Click the Lock icon at the bottom left of the window if you cant change the settings.
How to Open Applications From Unidentified Developers in Mac OS X Mountain Lion

Step Five
Enter your administrative username and password and click Unlock
How to Open Applications From Unidentified Developers in Mac OS X Mountain Lion

Step Six
Select Anywhere from list of places to allow downloaded applications from.
How to Open Applications From Unidentified Developers in Mac OS X Mountain Lion

Step Seven
A popup window will appear asking you to confirm your selection. Click the Allow From Anywhere button.
How to Open Applications From Unidentified Developers in Mac OS X Mountain Lion