By dragging and dropping DiabloMiner-OSX.sh into the Terminal window, this happens:

/Users/Felles/Desktop/DiabloMiner/DiabloMiner-OSX.sh

Exception in thread "main" java.lang.NoClassDefFoundError: com/diablominer/DiabloMiner/DiabloMiner
Caused by: java.lang.ClassNotFoundException: com.diablominer.DiabloMiner.DiabloMiner
   at java.net.URLClassLoader$1.run(URLClassLoader.java:202)
   at java.security.AccessController.doPrivileged(Native Method)
   at java.net.URLClassLoader.findClass(URLClassLoader.java:190)
   at java.lang.ClassLoader.loadClass(ClassLoader.java:307)
   at sun.misc.Launcher$AppClassLoader.loadClass(Launcher.java:301)
   at java.lang.ClassLoader.loadClass(ClassLoader.java:248)