Just making extra-sure, you are getting this message when you drag and drop it from the Effects panel? Trying to be sure of what you mean by "Open it after downloading". It should not be dragged-and-dropped into the After Effects window or opened with File>Open and just needs to be placed into the plugin folder and it will show up in the Effect panel.
What you may also need to do is go to Settings>Privacy & Security and there should be an option for PixDither after getting the "unidentified developer"-message that you may click "Open Anyway" on. After doing that, it should run normally! Either that or right-click PixDither.plugin and click "Open" just once and it should stop trying to block it from running within After Effects.
