The malware is being blocked from executing by an OS X security feature named "Gatekeeper". Gatekeeper was introduced in OS X 10.9.
You can disable Gatekeeper from within System Preferences.
1. Go to System Preferences
2. Select Security & Privacy
3. Unlock with authentication to change the security settings
4. Switch the configuration for "Allow applications downloaded from" to 'Anywhere'
5. Re-lock the settings
You're responsible for your own environment so make sure this environment is not your genuine Host environment, and by executing the malware sample you're trying to experiment with the documents on the environment will become encrypted. The sample you're trying to experiment with is known for masking itself as an Adobe Photoshop or Microsoft Office hack-tool (aka. "crack") and is going through torrent websites, and will encrypt the documents on the environment when you open it up and attempt to work the fake hack-tool with it's UI.
References:
OS X: About Gatekeeper