To use your Mac, you need an operating system on the computer. In most cases, you want to run Mac OS X (pronounced "ten"). You can find a copy on Apple's website or many third-party retailers. There are a few different versions of Mac OS X, but which version you need depends on the age of your computer.
If it's a Mac with an Intel processor (MacBook, newer iMac, etc.) then Mac OS X Snow Leopard is a great choice.
If it's an older Mac with a PowerPC processor (iBook, older iMac, etc.) then Mac OS X Leopard or earlier is a great choice.