Once you have downloaded the .dmg, double-click the file to mount it. If you use Safari and have the appropriate preference set, it may be mounted for you.

Drag DfontSplitter from the disk image to Applications (or wherever you want it). To launch the program, double-click it within Applications.

Now eject the disk image, by clicking Eject in the Finder sidebar, or dragging it from the desktop to the Trash. You can also trash the .dmg file from your Downloads folder.