Please go to System Preferences ‣ Security & Privacy ‣ General and make sure that App Store and identified developers is selected.
If the .dmg file is in your Downloads folder, you could try entering this Terminal command before opening the .dmg:
sudo xattr -rd com.apple.quarantine ~/Downloads
Or if the application is already in your Applications folder:
sudo xattr -rd com.apple.quarantine /Applications/SpamSieve.app
You can re-download the app using this command in Terminal:
cd ~/Downloads/ && curl -LO 'https://c-command.com/downloads/SpamSieve-current.dmg'
and this will avoid the problematic quarantine attribute that browsers like Safari add.
It may also help to restart your Mac.