This is how to install the PLEX Media Server on MAC OSX, first goto the following url: http://www.plexapp.com/getplex/ then click on the mac os x button and then two more buttons should appears click on the top one as indicated below.
You will be asked to save the server install file, when saved double click the dmg file.
Double click on Plex Media Server icon.
The plex application will launch your webbrowser and the following will appear like below.
Thats it, PLEX Media Server has been installed on Mac OSX.