You are not running Windows (and that's a good thing™
)
Generally speaking, if you are logged in to an admin account (which is the default confguration), then you would usually be running any application as an admin (because that's what you are), by default.
There's some exceptions to that, I think.
Some apps will provide a means to run an app, using a sudo command in your terminal.
Here's one method: Right-click on your app, choosing Show Package Contents.
Open the Contents folder.
Open the MacOS folder, which often will have only one file, with the name of your app. That is usually a Unix file.
Open your terminal.
Type "sudo" - without the quotes. Add one space.
Drag that Unix file with the name of your app into the terminal window. Some text will appear, showing the path to that file that you just dragged to the terminal
Press enter. the terminal will ask for your password. You are trying to run that app as a superuser (which is the sudo command), which is as "administrator" as you can normally get on a Mac.
You won't see anything entered when you type your password. That is completely normal, it's a security feature of the terminal, so just type your password, and press enter. Your app/game should now launch (assuming that your app allows that kind of launch, not all will work that way)
All this may (or may not) seem a complex way to do something pretty simple on Windows, but it's also unusual to do that, on a Mac.
BTW, the "sudo" command won't work at all if you are logged in as a standard or other restricted user account. It will only work if you are logged in to an admin account