It is new security feature in Mac OS X, by default only apps from Mac Store & from trusted developers are allowed to run there. Fortunatelly, it is easy to change, you have to allow this in Mac OS X preferences.
Go to Preferences -> Security & Privacy and click on padlock to allow changes.
Then in "Allow appications downloaded from" select "Anywhere".
http://stackoverflow.com/questions/11136805/java-applet-with-self-signed-certifi cate-on-os-x-mountain-lion
