On some versions of Mac, you will get an error when you click the "Run" button that reads

"xxx" cannot be opened because the developer cannot be verified.

If this happens, click on "Cancel". Then, go to Settings > Security & Privacy > General. The following dialogue should show up:

Click on "Allow Anyway", near the bottom of the screen.

Once you've done this, try and start the game up again. You should get the same error message, but now the message box should have an "Open" option. Click on it, and things should run normally.