Several times I’ve downloaded an app and had OS X ask me the following every time I opened it:
“TheAppName is an application downloaded from the Internet. Are you sure you want to open it?
The first time, well, okay, but everytime?
The trick is to remove the com.apple.quarantine extended attribute from the application’s directory. For example, in the case of Adium, I needed to run the following from a Terminal shell:
xattr -d com.apple.quarantine /Applications/Adium.app/