Thank you for all the help! I fixed it by using a command to disable gatekeeper. Then I redownloaded the file and it opened just fine. To enable gatekeeper again I believe you enter the same code but put "enable" at the end instead. Below is what I found in this reddit post (https://reddit.com/r/osx/comments/9mf4au/installing_apps_from_unidentifiedunsign...):
This is due to MacOS' Gate keeper.
You can disable it by doing the following:
- Open Terminal
- Paste : sudo spctl --master-disable
I hope this was helpful to others having issues.