Why does this pop up when I try opening minecraft?

I tried downloading minecraft from its website but when I click minecraft to try to open it up it pops up "Minecraft" is an application downloaded from the Internet. Are you sure you want to open it?" What do I do to make it work and why does this pop up? I need help as soon as possible!

Added (1). I have a macbook pro

stephany

If you are on windows 7, click yes. If you are on windows 8, click more info, then click run anyway. This happens to let you know the program was downloaded from the internet and it could contain malicious software, whether it actually does or not.

Raptor123471