At this point, you should drag the EndNote icon as indicated, locate EndNote in the Finder on your Mac, and run it. If you ignore the instructions and double-click the EndNote X7 icon, thereby launching EndNote from the mounted disk image, you will see this:
If you ignore that warning, click "Continue," and enter your key, you will see this:
The solution is to cancel out of the application, drag the EndNote icon to the Applications folder, and then launch it from the Finder.