You're not really doing anything wrong -- the issue is that you're using Internet Explorer, which has some bugs in the way it handles downloads like ours. If you rename the file to "SuperDuper!.dmg", it'll open properly.
(Seriously, you should also consider switching from IE, which is no longer developed or supported by Microsoft, to something more modern like Safari, Camino, FireFox or OmniWeb.)
Hope that helps!
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--Dave Nanian
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