To install F.O.X. under Mac OS X (tried on Tiger -- 10.4), just download the version of Fox appropriate for your processor (G3/G4/G5), unless you want to compile it yourself) from [http://sourceforge.net/project/showfiles.php?group_id=27546&release_id=203604 SourceForge] scroll down on this page and click on the MacOS X link to see disk image (.dmg) files for G3, G4 and G5.
Click on the appropriate package and you will be prompted to select a download server. Once the download (~5 Mb) is complete, open the .dmg file in finder (done automatically in Safari) and you will see three files/folders. I suggest creating a folder in someplace convenient and memorable (like FOX2005-11-11) and drag the contents to that folder.
Fox can be run from that location or can be dragged to the dock, etc.