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You need to go into your security preferences and allow installation of third party apps.

That procedure is not recommended.

Only if you start installing stuff you don't trust.

If you don't want to allow it, the wallet available at https://bitshares.org/wallet is identical to the one in the light client.

I use mac and this is just what happens . You need to find the application and right click it then click open. this will work.

Yes, just need to wait for @cass to build it. :)