I have no idea, but I would guess that you would have a .dmg file rather than an .exe file. You double click on it and it will open with stuffit or what ever is your default opener, and drag it to your applications folder, and run it from there, or an alias(shortcut on your dock or desktop).

Some mac applications come ready to use.

I know a lot of programmes on the network are labelled as OSX and are actually .exe and of no use whatsoever quite possibly Windows viruses.

Sorry to not be much help, but I might have given you a little bit of useful information , with luck

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