That's not how it works. "If you right-click on an app in the Finder and then choose Open, you’re prompted with a different dialog box—one that also offers to open the offending app. If you choose Open, the app launches normally, and that’s it." http://www.macworld.com/article/1165408/mountain_lion_hands_...

As little protection as that is, I think it could make a dent against trojans. If there were enough trojans to measure, that is.