Unable to install few .DMG and .PKG files on my Mac OS X 10.8.1?

Hi,
i just downloaded third party tools and some plugins so i try to install those files (.DMG and .PKG) its throughing Error message as "Your security preferences allow installation of only apps from the Mac App Store and identified developers." so how can i install these files without any intereptions. please suggest me.
Thanks in Advance,
Suresh Balakrishnan.

Right click or control click on the file and click on open.

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