That means that your PATH is not setup to search the directory containing xmahjongg. Click the Prefs button (in xMahjongg Select) and enter the full path to your copy of xmahjongg. If you installed xmahjongg using Fink, then that would be /sw/bin/xmahjongg.
And if you are not using Apple's X11, then you will also need to change the name of the X11 App to XDarwin or whatever you are using.
xMahjongg Select
GUI to choose options for xMahjongg game
Version: 1.0.1