OS updated

First off, that's a Big Sur dialog, not a High Sierra dialog.

If you show in Finder, you can usually drag it to the trash and force empty trash using the Finder menu to do so. Sometimes you have to reboot in safe mode (hold the shift key) to allow you to remove the file.

Apple menu -> System Preferences -> Security and Privacy will inquire about the safety of any application not distributed by the Mac App Store when you run it for the first time. You can allow it from there if you are sure the source is safe.