How do I open an app that is not OKed by Apple?

You don't

Right click (or control click) on it and choose "open" and then you'll get the chance to open it. This is only necessary the first time you launch it.

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Is Gatekeeper blocking it? Go to the app in your applications folder, right click and choose open. You will then receive the same pop up as usual except you will be given the option to open it as well.