Knowing your OSX version and computer type might have helped a little. The sample image shows an external device. I wonder if that is related.

Edit: I have become aware that OSX 10.8 is highly permission based. You will need to change your system settings to allow 3rd party programs to run. Sample image

Try running the connection program from a different location such as your Documents folder or your Desktop.
Are you logged in with Administrator abilities? If you are running the installer over a LAN network, it possibly might not be able to locate your user settings.

The script program should run on any MacOSX version. The only thing which might not work is the launch Phex at the end if either Phex is not installed (or possibly never been opened) or you are using I think its OSX 10.2 or earlier it might not work (should work on any OSX except for the launch Phex function.)

If the script program is not opening at all, then sounds like either a location permission error or a logged-in permissions error. Though I would not have thought admin permissions should be required to use this script program in general. Only other reason I can think of is some kind of security software blocking it. No reason it should not be able to be opened on any OSX version unless it is permissions related.

If all fails you can download the phex connection file itself and put it into its appropriate location which for MacOSX is:
Users/ your username /Library/Application Support/Phex

For OSX 10.8 you will either need to use terminal or set the settings to show hidden files and folders to be able to find your Library support files.

If you do install the connection file manually, then you can actually get both the connection file and the phex properties file from within the Phex Connection program package. ie: right-click / control-click the script program and choose Show Package Contents. Then open the Resources folder and move/copy both the phex.hosts and phexCorePrefs.properties files and place into the Phex prefs folder within the App support section. Replace any that might already exist in the Phex prefs folder.