Could you (or anyone) run a non-programmer through this?
It's quite easy. Download the app and unpack it - you should have a Ethereal.app file in your Downloads Folder now.
Then open a Terminal (you can find it in "Applications") and type:
cd Downloads
chmod +x ETHEREAL.app/Contents/MacOS/ETHEREAL
After that, you can click the "ETHEREAL.app" in the Finder and it should start normally.