Seekayess, I've just tried the link out and it works. I'm using Safari on a macintel. If you click on the mac choice on the link, you should see the download start. The file is called ZiPhoneOSX-2.4tbz. If after clicking on the download link nothing happens, click on Window->Downloads and the download window should appear, which will enable you to follow the progress of the DL file. It takes about 3 minutes on an 8Mbps connection.
Double click on the .tbz file and it should unzip automatically. The application is called ZiPhoneOSX. If you open this, it should hopefully be plain sailing from there. Let me know what happens.