What version of OSX/macOS are you running?
If you try to run the latest version of Dolphin and it won't open because of a security warning, you can go to the OSX/macOS Settings app, go to the Security page, and there should be a button that allows you to "trust" the application and run it.
If you can't run the app due to being on a really old OSX version, you should probably update your OS.
If you try to run the latest version of Dolphin and it won't open because of a security warning, you can go to the OSX/macOS Settings app, go to the Security page, and there should be a button that allows you to "trust" the application and run it.
If you can't run the app due to being on a really old OSX version, you should probably update your OS.