Command and option should work like Win and Alt without doing anything; the keyboard isn't some bizzare thing that sends incomprehensible codes to the OS. It's just a keyboard. A keyboard that wouldn't work with Windows would be awkward with the ability to use Boot Camp to dualboot Windows on a Mac, heh.
If it's a wireless keyboard your computer needs to have bluetooth support and you'd just pair it like anything else; if it's a wired one just plug the thing in.
That said, dear gods why would you use one of those things? I used to have to use the full-sized wired one at work when I worked at a call center doing tech support for macs. They're awful.