The warning is a known issue and we hope to have a solution to it soon.
When you get the warning dialog box and click "Open," the disk image should be mounted by your Mac. If you have your Mac set to show mounted volumes on the desktop, it will appear there, otherwise you can access it by choosing Go -> Computer from the menu bar in the Finder (the resulting window should show the disk "Fuse-IDE-Enterprise-2.1.462-osx-installer," which you can then open to see the installer application. Double-click the installer and it should walk you though the installation process.
Please let us know if this doesn't work for you,