Open it, then open a Finder window to 'Macintosh HD' or whatever your HDD/SSD name is (you may need to open the Finder's preferences and select Sidebar and then enable it for it to be shown) and open the Library folder. Get the DMG here: http:/ / release/ SDL2-2.0.14.dmg It's recommended but not necessary on Intel if you're already up and running.
To build and run MAME 0.227 on Big Sur, updating your installed SDL framework to the new 2.0.14 release is required for M1 machines.