After having extracted the archive that contains the Macintosh
version of UDO you can move UDO's files to any place of your file
system you want to. In most cases this would be the Programs
directory.
UDO is available as a fat-binary so it will run both on a 68k Macintosh and a PowerPC Macintosh. If you want to save some disk space you may be smaller the program with a certain software.