Okay...

Go to system preferences and there should be something for security or app store, and there should be a box to tick whichll let you run things from unregistered developers. Unregistered not necessarily meaning dodgy, just wanting to make something without paying a few hundred to be "officially" recognized by Apple

Yeah, I know but it's kinda funny the error message treats the video as an app.

@xxdavid apple logic: sand box everything

^^
This. Are you sure it's a video?

@Jop- Nono, it's not. It's just a normal mp4 video. I only updated VLC, hence this message.
The dialog uses file name of the file being opened instead of the app that is actually opening the file.