If you can't get the app to open, you can look inside of it, to the TalesOfAndrogyny.jar file, and run that instead; you'll need to have java installed.
I actually created an account just so I could respond to this. I have the exact same problem. I had downloaded a previous version of the game and was able to run it just fine, and I was able to enjoy the game. But months later as I'm trying to repeat my initial process I'm getting that same error message as peppermintrhino. I download the file, open it up using Unarchiver (which handles opening .rar files for Mac) but instead of making a folder containing the .jar file it just makes an application with no means to open. Any help would definitely be appreciated as I'm legitimately stumped.