On a Mac, Warzone is distributed as a ".app" file. You can still take a look at what's inside...

 

Viewing Package Contents

Right-click on the app's icon and choose "Show Package Contents":

You'll then be taken to the Application Folder in a new Finder window.

File location

Assuming you installed it to the same place as all your other apps, it will be in the Applications folder:

If you put it somewhere else, use Finder or Spotlight to locate "Warzone 2100.app":

Warzone 2100.app