Allow Apps won't unlock in Security & Privacy - Yosemite

When I was running Mountain Lion I selected "Allow apps downloaded from: Anywhere" in Security & Privacy. I updated to Yosemite a few days ago. The update set that back to: "Mac App Store and identified developers". I want to run some software from elsewhere. When I select Security & Privacy and click the padlock icon, a pane comes up asking me to enter my password. Since I don't have a password I simply click "Unlock". The padlock unlocks for a few milliseconds and re-locks far too quickly for me to change the setting. I know that I don't need a password as that pane lets me click Authenticate during software installation from a .dmg

So what do I have to do to change Allow apps setting now?

You have a few options:

• Temporarily set a password to change the setting.

or

• Hold down Ctrl, click on the app, then click Open from the menu shown. This will allow you to temporarily bypass the checks.

You will need to temporarily put a password on, then you can just take it off. I had to do that for Steam and it worked perfectly. I think this might be a bug and hopefully they're gonna fix it.