Since the release of OSX 10.7, your Mac is initially set up to only allow Applications found on the App Store to install on your computer as a Security Measure. Otherwise, it will consider the application to come from an Unidentified Developer and block installation. To Change this:
1) Open your System Preferences
2) Select "Security and Privacy"
3) Change the settings to Allow Downloads from Anywhere
You can always change these settings back to the App Store at any time.