Q: Software for OS X Yosemite for HP P3005DN

Use the HP site and it will be fine. Even if it says it may have malware. It's from HP. You can even link to their site from this Apple article:

Printer and scanner software available for download for your Mac - Apple Support

http://www8.hp.com/us/en/drivers.html

Control - click on it and choose Open.

Try adding the printer using USB in System Preferences > Printers and Scanners

If it doesn't prompt you to do anything, click the + to add the printer (should show up as USB) then where it says "Use," set it to Auto Select. If Apple can find the software, it will ask you to if you want to download the software.

If it can't find the software, then you have to get it from HP's website. There is no reason why HP wouldn't be safe to download from. Your computer is just telling you it can't identify the source of the download. It doesn't mean there is malware. It will tell you this regardless of which website you download from if it can't identify the developer. It would warn you about malware if it couldn't identify the developer on Apple.com. It's more of a generic warning. It doesn't mean the thing you are downloading will for sure have malware. As long as you are on HP's website, you will be fine.