Right click on it, click open, then it will have an option to run it! Also, move the file into the application (or a non-desktop folder), otherwise you'll get stuck in the tutorial and never be able to advance to another level.
I found if you do it twice it'll work. The first time i just got the verification error with "move to bin" or "cancel", but when I did it again by right-clicking/open, it gave me the option to open as well as the other two.
