[_JJ_]

Try looking at your System Prefs >> Security & Privacy to see if you need to give permission for the file to be downloaded from an "unknown source" (not the iTunes App store). It may also be asking for your permission to run the installer. If you have either of those issues you should be able to click the padlock on the bottom left, input your user password, and grant those permissions. (This happens in Mojave anyway...)