@Valdus: Do you get a warning that it's unsigned/untrusted developer?
Since Apple started with the App Store on Mac, they also added
extra security to protect users:
Gatekeeper. If you want to install apps from outside the store you now have to go to Preferences -> Security & Privacy -> General and select "Allow apps downloaded from: App Store and identified developers". Then there's just one more hoop to jump through: Find the app you want to launch, right click it and press open. You'll now see a warning that it's by an unidentified developer. Press open. From now on you can open it as normal (you only have to do this once per unidentified app).
Of course, you should only do this for apps/developers you TRUST. I have no idea who the devs are for this diablo clone, so I take no responsibility. Only thought I'd empower you to make your own choices. If there is malware/viruses etc in an app you run you will be infected (which is why apple enforces Gatekeeper by default).
Never run anything in this manner that you are unsure of, or hasn't asked for.
That being said, it looks like Kajael has run it without trouble, so it's probably ok. But again, no promises.