Once you have downloaded the Incognito app from the downloads page, open the downloaded file Incognito.dmg that will be present in your downloads folder and most likely in the downloads section of your browser.
This will begin the install wizard which should complete within a matter of seconds after you have entered your user password, once complete the Incognito software will require you to login with your email address and password. The app is set to launch at startup but can be found within your applications folder just like any other installed software.
Incognito for Mac supports OSX 10.9+, the software may work on 10.8 but consider it untested. This will change shortly.