Click with right button, open with permissione: Nothing
Goes in terminal, type command, drag the app: Nothing
Now, last thing Is open the app via Security & Privacy but how?
I don't have a Mac and don't know the specifics of running these games on one.
My point was you need to give good information if you hope to get good help. Sorry I can't be more help
More information that might be valid is the specific Mac version you are running, whether you are using Wine or some other emulator,
Link the advice you are following so others can spot if it is out of date or otherwise inaccurate. (what you posted might be enough for that, I don't know)
A quick google found
You must be registered to see the links
which seems like it might have helpful info (second to last post) including a link to WINE if you aren't using it already