Windows programs cannot be run on a Mac directly.
If you want to run Windows programs on the Mac - you have a few options -
a) BootCamp - buy a copy of Windows, use BootCamp to install it on your hard drive as a second operating system. You will have to reboot to Windows when you want to run the program
b) Buy virtualization software like VMWare Fusion and install Windows using that - this will allow you to run Windows side by side the Mac and you can run your program without needing to reboot
c) See
http://www.codeweavers.com - they allow many Windows programs to run on Mac without needing Windows. You will have to enquire if the program you are trying to run is compatible though.