People probably should have warned you that you might break your computer if you try to change anything with the file system itself without knowing what's what. It's probably that the app bundle (the one you downloaded) that has Game.app or whatever should first be moved to the appropriate (main) "Applications" folder before trying to run it. Also, don't run it an elevated user with admin permissions or something (like forcing it to do that with prompts). That's another way of creating other permissions issues. Follow some instructions on how to install a RPGM or Renpy game on Mac. It's usually the same process for most of the games.