Ok so I want to install crossover so I can run steam Right?

so I download the crossover thing, I open it from my desktop and it says "to install this software, drag and drop into your applications folder(or any folder your want) to install. Then you may eject this image." When I do this and proceed to click on it in applications it says the thing. Someone help me.

Also when I try to copey it to the folder it says I dont have privilages. Which is total bull**** because I bought this mac not 4 hours ago and am the only user.