You should be happy to get a dialog asking for permission and your password - with all the malware all over the internet, it is much safer that way.
Most of the time, you will get a .dmg and you will need to authorize the install - another safety feature.
Now, a new feature of ML is that safety net of any application that does not come from the app store or the developer has not yet signed with Apple that his apps are ok, you will get that dialog. You can turn it off by going to the Security & Privacy Pane in System Preferences > General > and check "anywhere" (you must click the lock and enter your password first). Or, you can leave the default setting, and when you click to open a downloaded app, hit the Control key while clicking to open and you will get a regular "open" dialog.