GoldenDict is a program which allows one to install custom dictionaries.
Download it here: GoldenDict for Windows and here GoldenDict for Mac
Download Sanskrit Dictionaries here: Sanskrit Dictionaries
How to install Dictionaries:
Download all of the dictionaries in one folder and extract them.
Install GoldenDict software, open it and go to Edit > Dictionaries
In Source tab, select the Files tab, click on [Add] and select your Dictionary folder where you extracted your dictionary.
Check recursive and click on [Rescan now] bottom.