Since there is no message at all beyond your topic:
There is no installation for the SoundJack-controller. The download is an archive or disk image that needs to get extracted or mounted first.
Reading the 10 SJ-Commandments and checking the videos of Alex would be a very good idea to understand what you need to do to work with SoundJack.

The Windows zip-file needs to be extracted, the soundjack.exe application is inside the SJC201112 folder and needs to be started (getting a terminal windows that needs to be open during the use of SoundJack) then you need to enter the soundjack website and enter the stage and set up things there.

On a Mac the .dmg file needs to be opened and the SJC-app copied somewhere on your disk, preferably into the applications folder, but not necessarily. If it rejects to run enter system setup -> security (or something similar, I don’t work with an english setup) and allow the start of the SJC application. That needs to be done during a few minutes after you got the rejection message.

Haven’t used SoundJack under Linux yet, but I’m rather sure it would be very similar to the Windows archive extraction.