Here is a quick video introducing you to Drush and drush aliases in Drupal. Drush allows you to quickly interract with your Drupal site from the command line, allowing you to add or modify users, dump your mysql database, check the status of your drupal instance, etc.
In the video we copy the example.aliases.drushrc.php file to the drush primary directory. Actually you don't need to do this, you could just create a new file called aliases.drushrc.php, but the example.aliases.drushrc.php file has lots of alias examples. In the video we create the most simple alias, but there are other options you can setup for your alias when using more advanced drush functionality, this example file is useful and learning how to configure your alias, and learning about different options available.
I also chose to feature drush on Windows but on OSX it is mostly the same. There is no icon on the desktop you need to click, instead just open the program called "terminal" and type the word drush on the command line (after you've followed the instructions to install drush of course).
For more documentation visit https://drupal.org/project/drush
The video hopefully gives you some visual to help guide you along in using drush, which is really an essential productivity tool when programming with Drupal.