In order to get the necessary code signing certificate to sign your desktop applications you will need to join the Apple Developer Program. This will cost your $99.

https://developer.apple.com/programs/start/standard/

Once you have enrolle in the Apple Developer Program and have an account, go to https://developer.apple.com/account/mac/certificate/certificateList.action and click on the + button.

To sign applications that are distributed outside of the MAS you want a Developer ID certificate. If you are distributing through the Mac App Store then you would request a Mac App Store certificate. You can request both types if you distribute in and out of the Mac App Store.

You want a Developer ID Application certificate. Note that there is a link to learn how to request certificates through XCode. XCode can automate the entire process through the Organizer window.

If you choose to continue to create the certificate manually (without XCode) then click Continue and follow the rest of the instructions that Apple provides. Otherwise follow the Learn How link to find instructions on requesting a certificate using XCode.

At the time of this writing, the instructions on how to install code signing certificates are provided in the Apple documentation at the following URL. Just expand the To request signing certificates section of the page.

https://developer.apple.com/library/ios/#documentation/IDEs/Conceptual/AppDistributionGuide/CodeSigningYourApps/CodeSigningYourApps.html%23//apple_ref/doc/uid/TP40012582-CH23-SW3