Problem with PPSSPP Mac

[gtavicecity1984]

You see (regarding my username) i love GTA, I am trying to run GTA Vice City Stories and i am using mac while my PC is in the shop. Its from Mid '08 and runs El Capitan (as that is the latest it can run) so without hesitation i hit the little Download button ready to get into the awesome world of PSP games but then it struck.
"PPSSPPDL.app" cant be opened because it is from an unidentified developer."
Now, Windows people, on Macs i cant run MS .exes and expect it to work.
You see, you need Wine, (dont get confused by the drink, Underage drinking is bad.)
Its a Linux and Mac program that lets you run games on mac like COD, GTA III, Vice City, San Andreas. etc. Anyways, if PPSSPP is watching, can you fix this for people with security controls like me?

[[Unknown]]

https://support.apple.com/guide/mac-help...h40616/mac

-[Unknown]