Step 1: Download TrueCrypt from http://www.truecrypt.org/downloads
Step 2: If it doesn't automatically open, click on the .dmg file.
Step 3: Read and "Accept" the license agreement.
Step 4: To open on 10.7 (Lion) or 10.8 (Mountain Lion), control + mouse click or right mouse click on the installer package (.mpkg) and accept the screenshot below. 10.6 (Snow Leopard) users just double click to open the file.
Step 5: Click "Continue".
Step 6: Click "Install", enter your Macintosh password and click "OK".
Step 7: Click "Close". TrueCrypt will be in the Applications folder.