I can think of two things:
1) .puz files require the Across Lite
software. If you don't have it on your computer, you can download it here: http://www.litsoft.com/across/alite/download.htm
2) If you've already installed Across Lite, then you need to make a file association between the .puz extension and the software. To do this -- on Windows-- go to the Windows Help and Support
feature, search for file extension
, and follow the instructions (which are pretty clear). I don't know how this is done on a Mac.