Just to check the obvious points:
1: You have downloaded the Mac Version, I assume you are using OSX?
2: It is very easily to install externals, you just drop the MXE/MXO file into the max-externals folder (for OSC-Route)
3: You should also have the OpenSoundControl external installed as well
4: It can also cause problems if you don’t have udpreceive and udpsend externals installed
In the download you will have several files, make sure you are putting the correct file into the externals folder, there will be a help file and an external file. Max will need to be restarted for the changes to take effect.
Yes to all your queries (it is OSX (10.6), the objects are all in the correct max-externals folder, OpenSoundControl in installed and working, udpreceive/send are installed and working, help file is in the correct place, software and system restarted). No joy.