iPhone: What is a WWDR intermediate certificate?
You need to download it and double click on it. It will get stored in your computer's KeyChain. It can be described best as something like root level certificate authority that affirms that your development or distribution profile certificate was issued by Apple's WWDR and not forged somewhere else.
iPhone Game Development book says:
WWDR certificate
Apple’s World Wide Developer Relations (WWDR) certificate is available from Apple at http://developer.apple.com/certificationauthority/AppleWWDRCA.cer. Download and install the certificate so that you can use it to certify builds. The WWDR certificate links your development certificate to Apple, completing the trust chain for your application.
The WWDR certificate is needed to tell Xcode that your other certificates are valid. You need to download them all and drop them on your KeyChain.