In latest Mac OS version, run app from "Any where" is hidden by default. To override security settings and open the app anyway, try to follow a help link here first:
In the Finder, locate the app you want to open.
Don’t use Launchpad to do this. Launchpad doesn’t allow you to access the shortcut menu.
Press the Control key, then click the app icon, then choose Open from the shortcut menu.
The app is saved as an exception to your security settings, and you can open it in the future by just double-clicking it.
For zip file download of Mac version software only (before year 2020, later version software uses .pkg file install and can ignore this note). In later Mac OS version, it requires all software runs from Application folder. Please download and then unzip myTaxExpress/T2Express software first; then move it under Application folder. After this, you can run myTaxexpress/T2Express App.