I have downloaded the ‘dmg’ file from the site [the server/client bundle package]
Opened it, it shows a disc icon on the top right of the screen and nothing happens.
I verified I didn’t downloaded the server, so i don’t understand what to do now.
Did you double-click that disk icon as well? That should show the actual DMG content window with the Roon app. You drag that on the Applications folder and then start it from there.