You download an application or file and then try to open it but cannot. Instead you are greeted by a message saying it can't be opened because Apple cannot check it for Malicious Software. Similar to the message below:

Apple (MacOS) tries to protect your computer by not allowing the opening of applications that can't be checked for malicious software.

If you trust the software, you can grant the exception for a blocked application. Click on the Apple menu    > System Preferences, click Security & Privacy  , then click General. Afterwards click "Open Anyway".