I personally like the idea of disk images, but I can see how zip files would be more alluring ... I'm just not ready to take that plunge yet. For disk images, though, I take a two-pronged approach:

First, the disk image I use has the now-fairly-standard background image with a box around the app icon and an arrow pointing to the Applications folder, with a prominent bar at the bottom that tells the user to drag the application into their Applications folder to install. This cleared up many of the typical support questions I'd get.

Second, I added, on the download page, step-by-step installation instructions (with pictures for each step), demonstrating the dragging and dropping, mounting and ejecting, etc. This has reduced the number of "your app deleted itself - I paid for it - what the h***?!" type of support requests from about twice a month to about once every few months.

For those few individuals who still have trouble, I generally send a canned response explaining the concept of disk images and repeating the installation instructions. They're usually grateful for the new knowledge (but occasionally you always run across an individual who is quite simply angry at the world and is offended by receiving the instructions s/he asked for). I actually had one customer accuse my FAQ pages of condescending him (a first for me, actually), and referred to me as "His Majesty". That was somewhat amusing ... but I digress.

My point is: Explain things thoroughly, explain them often. Use pictures. Give references to educational resources. Don't worry about the angry, egocentric types; most people are grateful for the extra help.