I think this is the Gatekeeper feature in action. You can configure Gatekeeper to allow you to run non-Mac App Store applications by going to System References -> Security & Privacy and selecting "Anywhere" under the heading "Allow applications downloaded from".
This will make non-Mac App Store apps function the way they did in Lion, but you're giving up a little bit of added security. If you'd rather keep the Gatekeeper setting as it is, you can also try to right-click or CMD-click on the installer and see if you can open / run it that way without changing settings.