To my best knowledge, there was no J2SE implementation (i.e. versions 1.2 and later) for pre-OS X Macs. You can get MRJ corresponding to Java 1.1.8 (I think) but that's not enough for modern apps.

On Mac OS X, you can simply drag the application bundle from the mounted disk image to any folder and launch by double clicking. Make sure you get the Mac distribution in a .dmg file.

Pure Java .jar installer should work too but you'll miss the pre-packaged Mac app. bundle.