Trying to deactive gatekeeper.

I was trying to open a .pkg file, when I get a popup saying "This file can't be opened. You should move it to the Trash"

And I found out that you can deactivate gatekeeper by going in to the settings.
But when I try to click "Allow applications downloaded from anywhere" it just jumps back to "Mac app store".

Does anyone have any idea how to fix this? :/