Hi,
Make sure you click the right one for OS X. For OS X it is the file with the pencil icon (FreeRouter.app), not the terminal window-looking icon (FreeRouter), which is the linux script. When the program starts up correctly you should get a small window in the top left with a button that says open your own design.
Some suggestions.
One, these packages aren't signed. You might have to go into the security and privacy preferences and enable running downloaded apps. As an alternative, you might have to select the icon, right-click, and select "Open" from the menu to override the security settings.
I used OS X 10.9.2 to develop but am using Java 1.8. However, I tried to set it so that it works for 1.7 but I couldn't test it. If Java isn't set up right you should get a warning box. So, I suspect it is the permissions.
To run the jar directly you can use the linux script on OS X. Use your favorite editor and change the path within the FreeRouter linux script to how you have set up the directories.
Hope that helps. Michael