Please try the following:- If it is running, quit Tunnelblick by clicking on the Tunnelblick icon in the status/menu bar, and then clicking "Quit Tunnelblick".
- Open a Finder window, then click "Applications" on the left side panel.
- Double-click Tunnelblick on the right side. (You might have to scroll to find it.)
If the same message about "from the Internet" appears, click the "Open" button, answer any questions that Tunnelblick asks. Then perform steps 1-3 a second time.
If the same message appears again, then there is probably something wrong with your OS X setup, because OS X isn't properly resetting the flags that show the file was downloaded from the Internet. (It's known as a "quarantine" flag.)
If the same message doesn't appear, then try Control-clicking on your configuration file, and clicking on "Open with", then clicking on the presumably only choice: Tunnelblick, and see what happens.
The only other thing I can think of is that if you are running as a standard user (instead of an admin user) and that somehow that is causing this problem. (Not that I know of anything like that, it's just that standard users often run into weird problems like this.)