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I download a compressed tar file; I uncompress it; I run make, compiling a large number of object files that are then linked to make an executable, which is embedded in a (Mac OS X) application.

I run the application, and the OS asks me, So-and-so is an application downloaded from the web; do you really want to run it?

How does the OS know?

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    I can't give you a definitive answer for every OS so I won't post this as an answer. I can tell you that for windows, when the file is being downloaded the OS sets a flag in an Alternate Data Stream on the file. I suspect that the other OS's do something similar.
    – EBGreen
    Aug 17, 2015 at 17:36

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Short answer is Gatekeeper

The message that you are seeing is a warning from Gatekeeper

Gatekeeper is a security feature in OS X that builds on OS X's existing malware checks to help protect your Mac from malware and misbehaving apps downloaded from the Internet.

For apps that are downloaded from places other than the Mac App Store, developers can get a unique Developer ID from Apple and use it to digitally sign their apps.The Developer ID allows Gatekeeper to block apps created by malware developers and verify that apps haven't been tampered with since they were signed. If an app was developed by an unknown developer—one with no Developer ID—or tampered with, Gatekeeper can block the app from being installed.

Source : https://support.apple.com/en-in/HT202491

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