You can't play this game on Mac because it's not released for this particular operating system. I have tried downloading it and the EXE installation package is provided instead.
However, there is another solution. Access the database of Mac Informer and then you can download apps for Mac OS X.
Search results: http://macdownload.informer.com/search/mahjong
Note: The search results list displays Mac Mahjong games games.
