Have you updated to Mac OS X 10.8 Mountain Lion or later and are now having trouble insalling applications downloaded from the web, Apple has added GateKeeper which will stop you from being able to install unidentified applications. Apple’s default setting is to trust only those applications installed through the App Store and developers that have become “trusted” by getting a developer ID.
The following instructions show you how to disable gatekeeper in order to install the OpenVPN Connect Client.
Below is the "can't be opened" warning.
To turn gatekeeper off follow the instuction below.
Go to Security & Privacy in System Preferences
Unlock the setting panel by clicking “Click the lock to make changes.”
Select “Allow From Anywhere”
Now return to the MAC installation instruction and continue installing the OpenVPN Connect Client.