Most of the information here is for Warzone 3.1 and above.
Mac Application Folder
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