Installing on Mac OS 10.5.7

I just bought a Macbook Pro and I dont know how to intall this application. I have never owned a Mac before and all other programs i have installed I just click on to start. But not this program.

Can someone tell me how I do. Describe everysting I must do because I dont know Mac that well...

Please help me. I used HeidiSQL on my PC and want to use it on the mac.

Not sure about jHeidi, I guess it should start up when you click the JAR file.

As for native HeidiSQL, you can run it with Wine, using either the DYI method or a more user friendly approach such as CrossOver Mac, either of which are also useful for running other MS-Windows applications.

Thanks..