For MAC there are two types are of packages are available, depending on the package you have downloaded check the below instruction. tar.gz - you have to extract the file. It will create a folder with splunk name. Now to start Splunk execute command, /path_to_splunk_folder/bin/splunk start
.dmg - once download is complete, you can open that file and it will guide you through setup instruction. Once setup is completed it will create the Application Link on Desktop.