To run Tor Browser, click either on the Tor Browser or the Tor Browser Setup icon or execute the start-tor-browser.desktop file in a terminal:./start-tor-browser.desktop This will launch Tor Launcher and once that connects to Tor, it will launch Firefox.
In older versions of Mac OS X, you could run any app you wanted under the default settings. 
Mountain Lion switched it so you can only run apps that are digitally signed by default about two years ago. Admins can change the settings, but the vast majority of users never will. Gatekeeper has one more setting, which is Mac App Store only.
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That will likely become the default in another year or two. GPL apps can't legally be distributed in any of Apple's app stores due to the licensing restrictions. How do i screenshot on mac. Portable/USB apps can't be distributed via the App Store either.