problem installing shockwave games

Hey all -

I am really really new to using a Mac. I have always enjoyed playing installed games from Shockwave on my PC and have a Shockwave unlimited account. I can not figure out how to install a game on my MacBook Pro. I have installed Adobe Flash and Adobe Shockwave 11 as suggested by shockwave. I download the game (I've tried a few to make sure it wasn't a particular game) it gives me this message - "...is a Windows application downloaded from the Internet. Are you sure you want to open it?" it gives me the options of "Show Web Page", "Cancel" & "Open". I click "Open" and it brings up a textedit screen full of programming stuff (alien to me). How do I get the game to install on my MacBook??

Thanks