There are alternatives for installing BUGS or other software apps developed for Windows OS on Mac OS X, but using the open-source Wineskin application was easy and effective for me so here is a simple guide:
1) Download OpenBUGS exe setup file for Windows.
2) Download and install Wineskin to create a "wrapper" for running OpenBUGS on Mac OS X.
Open Wineskin and select "+" to install the most recent version of WINE as an "engine" for Wineskin.
Select "Create Blank New Wrapper" and name it "OpenBUGS" or anything else, and Wineskin will create an .app file in your user folder (e.g., /Users/matthewgiovanni/Applications/Wineskin).
3) Drag your new OpenBUGS app to your apps folder, open it, and select "Install Windows Software", and browse to and select your BUGS exe file. Your new Wineskin wrapper (in this case, OpenBUGS.app) should then initiate the setup wizard for your BUGS program.
Alternatively, "virtual machine" software for installing and running a Windows OS on your Mac desktop are available for < $100. I used VMWare Fusion for awhile but I think I like Parallels Desktop better.