Welcome,
You will need Stuffit to open such files, but since you are trying to download AOL's AIM software, let me warn you:
1. AOL-AIM isn't built for Intel Macs. It's gonna run slow.
2. It hasn't been updated in forever. It's far behind the Windows version.
3. You can use iChat, which is on your Macbook already, to talk over the AIM network. If you don't need video/audio chat, check out Fire or Adium. I use Adium myself, and like it alot, but of the 3, iChat is the easiest to use.
iSMH