Right, this can happen with Safari with some configurations for some reason I believe
I think you either solve it by remove .bz2 in the name of the downloaded file, as it really is only supposed to be .dmg. or you have to temporary turn off Open safe files after downloading in preferences -> general. So that you manually have to mount the disk image.
Did you download the game from getpenumbra or esellerate? I think that I fixed the problem on getpenumbra, but maybe I only researched the problem and never got around to actually fix it.