It sounds like you downloaded the source and not the mac executable. You might want to go onto the download page again and make sure you download the correct file. Once it downloads you will have to double click on it to decompress it. Then this will leave an executable file. Click on it to launch denemo. You will probably need to alt click or option click and choose to run it without verification. You only need to do this the first time. It takes a long time to launch the first time for some reason.
Let me know how it works for you. Another option is to run the windows version using wine on your mac.