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How do I enable installation of unknown developers applications on OSX 10.8+ ?

One of the improvement of OSX 10.8 is gatekeeper, a security system designed to limit the installation of new applications to Apple App Store and Apple 'known developers'.

To disable it, go to System Preferences.

System Preferences

Go to the 'Security & Privacy' tab.

Security

Set the "Allow applications downloaded from:" to "Anywhere".

Enjoy.