Double-click on the downloaded .dmg file and double-click on the Tunnelblick icon. Authorize the application if needed. You might be asked the username and password of your administrator account.
If Tunnelblick did not ask for a configuration file, double-click on the downloaded .ovpn file to install it.
Connection
Locate the Tunnelblick icon in the status bar at the top of the screen, usually between the time and the Spotlight icon. Click on it, then click on “Connect 'arethusa'”.