Open the DMG and drag to Applications
Double-click the downloaded AiLocally.dmg file. A window opens with the AiLocally icon on the left and an Applications shortcut on the right.
Drag the AiLocally icon onto the Applications folder. macOS copies the app over in a second or two.
When the copy finishes, you can eject the DMG (right-click → Eject) and trash the file.