I am not sure exactly why it is doing that. What I would suggest is redownloading the .dmg file. Now apparently according to other people who followed this method, they said it would not run and they had OS X Mavericks. I am not running Mavericks so that could be a compatibility issue. I would just suggest deleting the .dmg and redownloading it, making sure it is completely downloaded before opening. Tell me if it still doesnt work!