Firstly, you need to tell us what kind of Mac you're running. BootCamp will only work on an Intel model (ie: 2006 onwards), so if you're on a PowerPC machine you're out of luck (PPC machines are the G5/G4/G3 series).
If you do have an Intel machine, great! Next you'll need a copy of Windows (Either XP, Vista or Windows7 Beta).
Now run Boot Camp Assistant. (I'm on Leopard by the way) It is located in Applications\Utilities\
Follow the on screen instructions - you might find it useful to print the setup guide! You'll first need to create a partition for Windows to be installed on (in other words, split your hard drive into two pieces for each OS).
Once this has all worked, you simply install Windows as you would on a PC. You'll have two hard drives on your desktop from now on. To boot into Windows you simply restart and hold down Option/ALT as you do so.
I've got Medieval and Rome, and Empire is very much a new beast.
The biggest changes are made on the strategy map - you no longer have to place a governor in each town to control its construction/tax, and you only use the characters as Generals, Admirals, Rakes, Gentlemen etc. This means you no longer end up having somebody die at a really inconvenient time and totally mess up your war plans. In addition to this, the map is now worldwide, with Europe, India and North America (plus the top of South America) as the areas to fight over. There's also four trade theatres, that simply serve to generate trade routes and income - you can't fight land battles on these, only sea.
Beyond that, it is pretty similar. Conquer territories, hold the towns/cities and expand them with factories/barracks/fortifications and so on.
The tactical side reflects the history of the time - Empire is very much a "stand back and shoot" approach, with short melee sequences right at the end, unless cavalry have gotten involved. The cannons are much better than previous games, although still poor shots I might add, and still slow to move. The fact that everybody has a gun (basically) does put you on a level field, but some guns have a longer range (Riflemen are fantastic might I add).
My favourite tactic at the moment is to place four puckle guns on my front line and let the enemy close. The puckle guns then absolutely murder their troops and they route before they can close the distance - a few battalions of line infantry provide some firepower too. Rifemen on the flanks harass from a distance and then a couple or three cavalry units serve to finish off the fleeing soldiers.]