Simple answer is you copy it using a USB stick. But that is not the whole story.
If by program you mean a Windows executable then you cannot directly run it, it needs Windows to be there in some form to run. So this means either running a virtual machine (I forget the name of the one that runs on MacOS) or using Bootcamp and installing a copy of Windows (which will require the purchase of a Windows license).
There are some things that you might term a "program" that could be copied across, but they tend to require things that you're unlikely to have on the Mac.
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It depends what kind of program it is.
Simple answer is you copy it using a USB stick. But that is not the whole story.
If by program you mean a Windows executable then you cannot directly run it, it needs Windows to be there in some form to run. So this means either running a virtual machine (I forget the name of the one that runs on MacOS) or using Bootcamp and installing a copy of Windows (which will require the purchase of a Windows license).
There are some things that you might term a "program" that could be copied across, but they tend to require things that you're unlikely to have on the Mac.