From time to time, Apple changes their security practices which may make it more difficult to install the Concept2 Utility. Here are some steps to take if you are having this problem:
Go into System Preferences on your Mac and click on Security & Privacy. Find the page that lists some choices of "Apple store only", "Apple store and identified developers" and "Allow from anywhere." Choose the "Allow from anywhere" option.
You will now be able to install the Concept2 Utility. Concept2 advises setting the security settings back after installation.
Alternatively, you can also try right-clicking on the downloaded file (or pressing Ctrl + click with a one-button mouse) and then choosing Open.