It is fairly normal to experience installation troubles when installing MOSEK version 6 on MAC OSX. The reason is that MOSEK version 6 relied on the setting of some operating system (OS) variables. However, Apple has changed the OS so in newer versions the OS variables are not available to applications such as MOSEK.
The easiest and best solution to the troubles is to upgrade to MOSEK version 7 which does not require setting of any OS variables. After unpacking MOSEK then a valid license file should be placed in $HOME/mosek/mosek.lic and then MOSEK should work.
Note MOSEK does not include any GUI so it should be use from the command line for instance.