Gatekeeper is a new security mechanism added to Mac OS X Mountain Lion. It is an attempt to prevent applications from unknown sources being installed without your knowledge. To work, this new software requires that all applications are signed with a Developer ID Apple provides. Adobe has been working with Apple and is signing all future applications, including the CS6 products. However, older products released before this new feature (for example, all CS5 and CS5.5 products) have not been signed. They present the Gatekeeper warning message on systems running Mountain Lion.
If you downloaded the application from the Adobe Store or the Adobe Licensing website, these Apps are proper Adobe binaries, despite the warning.
Future versions of Adobe applications will be signed with Apple's DeveloperID to avoid this message. However, Adobe created some of these applications before Apple introduced the Gatekeeper functionality in 2012.
For more information on Gatekeeper, see http://www.apple.com/osx/what-is/security.html
For instructions on how to verify signatures on pre-gatekeeper installers, see this document.