See this support note from Apple. About unsigned applications:
If you run an unsigned application not in the Application Firewall list, you will be presented with a dialog with options to Allow or Deny connections for the application. If you choose Allow, Mac OS X v10.6 will sign the application and automatically add it to the Application Firewall list. If you choose Deny, Mac OS X v10.6 will sign the application, automatically add it to the Application Firewall list and deny the connection.
Some applications check their own integrity when they are run without using code signing. If the Application Firewall recognizes such an application it will not sign it, but then it will re-present the dialog every time the application is run. This may be avoided by upgrading to a version of the application which is signed by its developer.