I don’t remember whether KM actually had an installer or not. But if it doesn’t, next time just drag the program to the “Applications” folder in Finder.
The Mac has something called “bundles” (among other names). These look like a single file, but are actually a special folder that contain all sorts of things inside them. In the case of most applications, everything the app uses (aside from user preferences and the like) are stored in the bundle. So you can often just drag an app wherever you want.
I’ve been on the Windows side both as a user and a developer since the original IBM PCs, and I can tell you, bundles are WAY better than anything Windows tries to do.
You’ll want to delete your KM preferences, they will be recreated to the original version.
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In Finder click the “Go” menu item.
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Hold down the Alt key, and you should see “Library” appear in the menu. Go there.
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Navigate to Library/Application Support/Keyboard Maestro.
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Delete everything there. Make sure the KM engine isn’t running.
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You might need to empty the trash. Not sure.
Anyway, that should get you started.
If you want to ask Windows-to-Mac questions, I’d be happy to answer as much as I can. Send be a private message if you want.
PS: In case it wasn’t obvious, this is where your macros and such are stored. A good thing to back up.