How to keep The Gimp alive?

[edward storm <ESTORM@xxxxxxxxxxxx>]

	When I'm leaving The Gimp I sometimes close
(red button click) The Gimp's window.  Other times I
use quit in the file drop down menu.  In both cases
The Gimp goes inactive (the "active" indicator to the
right of the icon in the dock disappears).  And every time I click on  
the icon to activate The Gimp I get the dialogue
"Gimp.app is an application which was downloaded from the Internet.   
Are you sure you want to open it?"  I don't
think I should get that every time I activate The Gimp.  How can I get  
rid of the annoying dialogue,  and is there
a decent way to leave The Gimp without killing it? 
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