I'm sure KevinH will be along shortly with particulars, but in the meantime, here's his steps from another post:
Steps 5 and 6 might be where you're going wrong (as you indicated you double-clicked the app file rather than right-click->open).
I could be all wet, there, but as I said... KevinH will be along. 
As I said, KevinH will be along ...