Thank you for the question.
We support OS X 10.7 and Xcode 4.1 starting from Composer XE 2011 Update 5 (that consists of Compiler 12.0 Update 5 and MKL 10.3 Update 5). Earlier versions do not support Lion.
I would recommend to start reading from Release Notes where you can find installation instructions and reference to further documentation.
Please contact me here in this topic if you have any further questions.