Install... can't be opened because it is from an unidentified developer.

Apple has a built-in way to protect you from opening up potentially malicious apps on your computer in Mac OS X Lion, Mountain Lion, Mavericks, and Yosemite. This setting, named Gatekeeper, will never stop you from installing apps from the Mac App Store, but it could from anywhere else. If it’s an app you’re sure you want to install on your system, here’s how to do it.

Basically, you should know that the DesktopServer is safe, and you can use it – but you will need to use a keyboard shortcut to do so. Instead of just double clicking the Application icon to launch it, you should Ctrl+click or right click on the app and select Open from the contextual menu. DesktopServer will open and you should be able to use it normally from now on.