You have to download a Bit Torrent client first.
For example the official one at www.bittorrent.com, but there are others, too. Just search around the MacRumors Forums and you'll see a lot of recommendations.
Azureus is the only Torrent app you should use. It has the most features (most of which are invaluable, and the smaller clients don't have crap in the feature department). It's java, so it's a little slow, but it's efficient in what it does and it works without any problems.