Okay. What you are downloading is the disk image containing the program. After you download this it should automatically open (in Safari). Then you double click on the programs icon to open it.
Here are the steps you should take.
1. Download the application.
2. When it downloads, it will open the .dmg (disk image).
3. A window showing the contents of the .dmg will open.
4. Open a new Finder window by clicking the Finder icon on the left side of your dock.
5. Drag the application icon from the .dmg file to the applications folder in the other Finder window.
6. Drag the mounted .dmg file to your trashcan, which will turn into an eject icon.
7. Run the application from your Applications folder, drag it to your dock, or create an alias on your desktop by highlighting the app, pressing

+ L, and dragging the alias to your desktop.
8. Eat a grilled cheese

.