In other words, this site is pretty safe...
On some Lion systems the default security values for mounted DMGs won't allow scripts to run with administrative privileges.
This is a problem for us since Glims installation scripts need those privileges.
To fix it.
Step 1 - Double click on Glims dmg from finder.
Step 2 - Click on Glims mounted volume and cmd-i to get the information panel.
Step 3 - In the information panel make sure the "Ignore ownership on this volume" checkbox at the bottom of the panel is on.
[ UPDATE: Apparently, if the box is already checked, you need to uncheck and recheck it. ]
Voila. Now you should be able to install Glims.