You have the file on your hard drive. Here is how to install it correctly.
At its core, is a professional-grade sampler. However, calling it just a "sampler" undersells its capabilities. It is a comprehensive development environment where sound designers build complex virtual instruments. The .dmg file specifically refers to the Apple Disk Image used to install the software on macOS systems. Key Features of Version 7.1.6 Native-Instruments-Kontakt-7.1.6.dmg
This usually indicates a partial download. Kontakt 7.1.6 was released during a period of heavy server traffic. Delete the .dmg and re-download using Native Access (which uses a checksum verifier) rather than a browser download. You have the file on your hard drive