My first suggestion would be to read the instructions that came with the game. That being said, in my experience (I switched only this year) there are two general ways to install programs in Mac OS X:
1. Using the Installer. This would be very similar to Windows. Put the CD in the drive. It will mount on the desktop. Double-click the CD icon, and double-click the installer if there is one. The program will install.
2. Drag the game to the Applications folder. After double-clicking the CD icon, there may only be the game icon. Drag the icon to the Applications folder. I have my Applications folder in my dock, but if you don't you can access your Applications folder by opening Finder (the two happy faces). The program will then install.
In my experience, #2 is the most common for general system apps. I am not sure which is more prevalent with games.
Michael