EtreCheck shows error on Mac

Hello,
I am a user of Mac Operating System and getting this box saying “EtreCheck” is an application downloaded from the internet. Are you sure you want to open it”? What does it mean? I can’t understand this message exactly. Suggest me to solve this issue.
Thanks.

“EtreCheck” is an application downloaded from the internet. Are you sure you want to open it?
Safari downloaded this file today at 2:25 PM from www.etresoft.com.
