Since OS X 10.8 you may see a message warning you that the downloaded package "is not from an identified developer". You can safely ignore it. Cognitone uses a packaging method (multiple packages bundled) that is currently not recognized by Gatekeeper. The actual software being installed is properly digitally signed and registered with Apple.
Open the list of recent Downloads on top of Safari's window, find the doanloaded package and click on the looking glass next to it.
In the Finder window that opens, locate the downloaded package and right-click on it. Select "Open With" from the menu and select the Installer. The installer should now run.