After you downloaded EZ7z, you had a disk image file called 'eZ7zv1.93.dmg'? I assume you double clicked that and found the EZ7z application inside. You have to copy that across to /Applications/ It will not work if you run it directly from within the disk image.
Yes, I drag and drop the downloaded file from the Downloads folder in Finder to the black window.
I'm not surprised you didn't understand those links. They are not in any way related to EZ7z. One is for a Linux utility and the other is incomprehensible.
Why are you trying to look at the external hard drive, and where is the checkbox that you are looking at?
Why isn't your Mac at the latest version of OS X? I recommend running Software Update and getting the current version 10.6.6. However, I doubt if this is related to your problem.