AppleInsider:

Mac and iOS users are protected from viruses and malware by default unless the user bypasses their security systems, by jailbreaking an iOS device; by disabling the protections of Mac OS X’s GateKeeper; or by choosing to “Trust” app installs that iOS identifies as being from an “Untrusted App Developer.” Here’s how those systems work, and how users can avoid being tricked into turning off their own security.

Short version? Don’t be stupid.