After the download a window will open, showing the iRed components:
Copy the application iRed to any folder you like
Copy the contents of the folder English, containing the example VRCs and AppleScripts, to an arbitrary place.
Install the driver for the infrared module (FTDI Driver...). For this installation you will need administrator privileges. You must restart your computer after you have finished the installation to make the OS recognize the driver.
You may try out iRed without the infrared module as well. Sending and receiving of infrared codes will not be possible, though.