It used to be that you could simply go into your Gatekeeper and select System Preferences > Security & Privacy > General, set Allow apps downloaded from: Anywhere:
But in Sierra, this option has been removed. Luckily, there is a simple workaround:
After downloading an app from an unidentified developer, drag it to the Applications folder.
Select the app and right or control-click.
Click on Open.
Click on Open again to confirm you want to complete the action.