If it's a Windows game it wont work natively in OSX. You could install XP using Boot Camp and then play the game in Windows. Probably your best choice.
You have to own Windows XP or Vista and install it via Bootcamp. Apple gives you OSX with your Mac, not Windows. Windows games do not run natively on OSX....they still need Windows installed to run. If you do not own Windows XP or Vista then you are not going to be able to play that game without buying a copy and installing it.