What program? Please provide a link.
It's likely that the company offers the software for Macs and for Windows PCs, and you simply downloaded the wrong version. If you downloaded an MSI file, then you downloaded the software for Windows PCs -- go back to the website and search for a link to download the Mac OS X version.
Hint: it's virtually impossible to give us too much information on your problem, but very easy to give us too little. Be as verbose as possible, and provide links to any and all software you reference. Be very specific: when you say, "Works on some Macs," please list those Macs, and tell us what model of Mac you have as well.