i haven't done it my self but its probably just like any other program. it will probably make a virtual drive that you then drag the program into your application folder, its really easy to to install a program on a mac.
actually i have a aol account. (its for email lay off!) anyway all the options you had before with AOL can be accesed from the aol.com page just sign in and you have all the options you did when you had AOL installed on your computer. In case you didn't know AOL is moving to a free web based service so you can even cancel AOL and still keep your email.
http://free.aol.com/thenewaol/index.adp hope that helps let me know if you have any other questions.
Yes just google AOL for Mac OS X and it gives you a site. BEWARE that is it still a power pc app(well on my macbook it is) I cant find an intel one. I just use apple's mail app for mail,adium for instant messaging, and safari for browsing becuase the aol is the version for Panther i believe so its outdated.