What's the link you're using to download the app? Which version are you downloading? What version of OS X do you have?
You might just want to try downloading again; perhaps the initial down was incomplete or corrupt.
This has something to do with OSX's gatekeeper.
See here for more details on gatekeeper: How to Permanently Disable Gatekeeper in OS X El Capitan.
The current work around for this issue can be found here: PhoneGapDesktop.dmg damaged! · Issue #647 · phonegap/phonegap-app-desktop · GitHub