JDiskReport is damaged, can't be opened
Just tried this myself and confirmed that the executable gives the error you mentioned:

"JDiskReport" is damaged and can't be opened. You should move it to the Trash.


I was able to get it to run setup by Ctrl-clicking JDiskReport.app, clicking Show Package Contents and navigating to Contents/Resources/Java/jdskreport-1.4.0.jar.  Ctrl-clicking this .jar file will allow you to click Open and bypass Mountain Lion's default 'unidentified developer' error.  I did not go completely through Setup (only confirmed that it ran), so try this and let me know how it goes.