Hi Savaenor,
first of all, the Package you've downloaded is far outdated. sorry. The current Version you need to connect, is 3.015b.
about the appropiate Folder, this could be where ever you like. Normally, this would be the Folder "Applications". Me, i've created a Folder "Games" under "Applications" and put it there. But you can also move it everywhere you like, but some Folder which are maybe not so appropiate are "Library" and "System". Even if it won't hurt at all, this is not a good Place.
So, my suggestion :
Just drag the Planeshift3D Folder from the mounted Image into the Folder "Applications", start the client and then rightclick on the psclient-Icon in the Dock and select "keep in Dock", as you will need it often, once you've got addicted to Planeshift like all the other ones here.
have fun
backeroo