Perhaps the following could be of help. Tell what's not working for you.
Installing from the tarball .tgz file without Terminal.app
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Choose a directory into which you will put most of VFX Forth.
A suitable place for VFX Forth could be
/Users/yourname/Applications/
That Applications folder doesn't exist in the default macOS setting. But macOS is 'geared' to know about that folder since day one of MacOS X.
So open a Finder window showing your home folder. Create a new folder Applications, then move the vfx tarball in there.
Open the folder, which now contains the tarball. Double click the tarball, it should automatically unarchive, resulting in the VfxForthOsx64 folder. You can trash the tarball if necessary.
Open the VfxForthOsx64 folder, you should see InstallMe.Osx64.sh. I just checked, it has the execution bit set. Double click InstallMe.Osx64.sh (if nothing happens, change the .sh in to .command and try again).
Now macOS security machinery will be triggered in to action. See George Kozlowski's excellent explanation what to do next in the 'Unsigned binaries and libs causing issues in Big Sur' thread on this forum.