On Mountain Lion, the default security settings only allow installation of applications downloaded from the Mac App Stored and "identified developers". We need to either become an "identified developer" or include some instructions on how to change the security settings (System Preference -- General -- Unlock --Select the "Anywhere" radio button -- Install Python -- Restore the original settings -- and Relock). Changing the security settings isn't appealing because 1) it weakens the user's security 2) it involves multiple steps and 3) the user will see an unsettling warnings along the way.