Don't know why you were voted down - this is a common question for Windows programmers looking at Macs.
Basically, auto-run is considered a security problem and so is not supported in OSX. Ben Alpert's answer is also a bit overkill. Most installers for OSX simply open up a folder to show the application and, possibly, a readme. Installing is done by dragging the app to your Applications folder.
For other kinds of apps on CDs (say, a slide show or something like that), the developer generally uses hidden folders to hide support data to ensure that the only thing the user will see when they open the CD is the single icon they're supposed to double click to start the app.