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If you downloaded it from the Crucial website, you can run it without any problem. Gatekeeper is a great security system in some cases, but if you downloaded an application from its original website, that only means that the application wasn't updated to include Gatekeeper. Note that developers have to update their apps to have Gatekeeper support.
To install that app, just right-click the installer and press Open
Curcal.com is a well respected Mac memory vendor. It is highlly unlikely they would do anything stupid to cost them that well earned reputation, not to mention the business they would loose
And yes, I've run that app.
I've also purchased RAM from them. The most recent a 16GB upgrade for my 27" iMac. Before that a 3GB upgrde to my Mac mini, and before that a 6GB upgrade to my Wife's Macbook Pro.
MacSales.com (OWC) is another well respected Mac memory vendor. MacSales.com also has videos on installing RAM upgrades. So does YouTube.com