downloading Lame Library

I am using Yosemite. Just downloaded Audacity 2.2.2 & think I’ll like it. Used to use Amadeus Pro on my Mac. Similar thinking.
Dowloaded & tried to open Lame Library to export to Mp3. Will want both export libraries.
Text box says: “Lame Library v3.99,5 for Audacity.pkg can’t be opened because it is from an unidentified developer.
Your Security preferences allow installation of only apps from the Mac App Store and identified developers.”
Looked through Firefox & Safari preferences; nothing says the above. Where ever it came from, how do I undo this?
Thanks muchly

Right-click on the LAME installer PKG file. A context menu appears. The first item is “Open”: select that. In the subsequent dialog that appears, click “Open”.
– Bill

Thank you! Thank you!
That was enough information that I was able to install the library. Bit convoluted.