You can click on the small lock and enter your admin name and password for your personal computer, then click anywhere. If it will not let you download this, click on the apple in the upper left corner of the tool bar at the top of your screen. There is no Malware or Viruses to be concerned about. This pops up for any applications downloaded off of the internet that are not from the Apple Store. After clicking on your newly made shortcut or the download in your finder, you should see the first image.
You should have something similar as seen above. Once completed, click on your newly made shortcut or the download in your finder. If you would like to create a shortcut to this application, you can drag and drop the downloaded file shown on to your desktop.
Once this link is clicked, it will ask how and where you would like to download this software as shown. This set of instructions will show you how to quickly and easily download an Emulator on your Mac computer, which will allow you to play N64 Games on any Mac.