System won't allow Companion app to be installed because Apple cannot check it for malicious software

[Jonathan1000]

VDH stopped working last week, saying it required the companion app.  I downloaded the companion app (repeatedly) but each time I try to open it, the system blocks it, saying "“net.downloadhelper.coapp-1.5.0.pkg” can’t be opened because Apple cannot check it for malicious software."

Suggestions?

Thanks