(updated December 10, 2009)
Escape Velocity is a wonderful role-playing/action/strategy/trading game for the Macintosh made by Ambrosia Software.
The best way to play Escape Velocity on a Windows PC is to purchase Escape Velocity Nova (part three in the series), which has been ported to Windows. It costs thirty dollars. The scenarios of the first two games can then be played as plugins. These plugins are totally free! For help with this, stop by the Escape Velocity forums at Ambrosia.
If you simply must play the first two Escape Velocity games, you should use an emulator. The best emulator to use is Basilisk II. We have a Basilisk II Setup guide. You'll need to follow the directions to set up the emulator and then install Mac OS 7.5 (free). You can then download and install Escape Velocity. I highly recommend Basilisk II over SheepShaver for this purpose. Basilisk II emulates the 68K computers that Escape Velocity was designed for. SheepShaver emulates later PPC computers.
We have a busy support forum that can answer your setup questions.