Here was the reply to my post with Nike direct. It did resolve my problem:
The first question I have is: Are you using Mountain Lion OSX 10.8?
Mountain Lion includes a new feature called Gatekeeper, which is intended to increase security by preventing the installation of malicious software. Our preliminary testing of Mountain Lion has uncovered that Gatekeeper's default settings could prevent the installation of Connect.
Control-clicking the installer package, then selecting "Open" will override Gatekeeper. Once successfully installed, there is no further workaround needed.
Another option is for you to change your Security & Privacy settings to allow applications downloaded from "Anywhere." This setting can be changed after Connect is successfully installed.
If you are using another operating system or this does not resolve your issue, please respond via this email and we will work together to find a solution.