I don't know too much about macs, so I'm not exactly sure.
Make sure that your computer meets the requirements (do you have mac os x?)
And also make sure that you are downloading this version:
http://download.microsoft.com/download/0/f/3/0f347443-f1ff-4830-9b20-65da2c6bf111/WindowsMediaInstaller.bin
and not the version designed for windows.