cant download TI Connect software

I just got a new calculator for school, the TI-84 Plus and decided that it would be cool to download some games on it. I looked on YouTube and found a tutorial on how to download the software on your computer that is needed in order to connect the calculator, and download the apps. After clicking the download button the TI Connect app appeared on my desk top so i clicked it in order to open the application and then a mini screen appeared which said that it "cant be opened because it is from an unidentified developer." When this screen appeared i thought maybe this was the wrong application needed in order to download the software on a mac so i looked up on YouTube how to download the software on an iMac and i had the same out come. Can some one please tell me what I'm doing wrong or if i just need to try this on a Windows computer?