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It has been a while since I have used any Pinnacle software. I first bought their hardware (A-D/D-A converter) to use on Windows many years ago (at least 8 years). I seem to recall that the Dazzle line was a 'Windows only' prodcut, but I'm not positive there.
I'm not sure what Dazzle gives you that you don't have with iMovie on your Mac (other than that you can run it on Windows). You might want to go back to the Apple Store where the staff member told you to buy it and ask them how you are supposed to run it on your Mac. If they suggested that you buy it, they might have information on how to use it with your Mac.
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Personally, I would consider returning it and look at using iMovie to get yourself started, and maybe look into something like Final Cut form Apple if you need 'more horsepower'..