OS X Mountain Lion (10.8) uses a new security feature known as Gatekeeper to prevent applications not registered with Apple from running. Currently Caedium is not registered with Apple, so as a work around prior to installing and launching Caedium for the first time:

Preferred

1. Right-click (or control click) on the Caedium.dmg file after downloading and select open
2. Install Caedium as normal
3. Right-click on the Caedium application and select open the first time you want to launch Caedium. You should not need to repeat this process when you launch Caedium in the future

or

Alternative

1. Launch the OS X System Preferences dialog and select the Security and Privacy panel
2. Set Allow applications downloaded from: option to Anywhere
3. Install and run Caedium once as normal
4. Reset the Allow applications downloaded from: option to your preferred setting, e.g., Mac App Store and identified developers