Chances are that certain apps will give you a popup message like this:
This is a security feature from Apple. The single most important thing to know is that you can allow individual apps to be exempt from that feature. This allows the app to run while the rest of the system remains under protection.
Always leave system-wide protection enabled, and disable it only for specific apps as needed.
If you are sure you want to trust the app, you can disable protection for that app by right-clicking its icon and choosing Open:
Finally, click the Open button if you want macOS to permanently allow the app to run on this Mac. Don’t do this unless you’re sure you trust the app.
