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You have to get the CE version of that software, which should also be on TI's site.
There are some games that can be played with nothing other than the calculator's OS, but there are others that require more downloads (like Ion and MirageOS) to make the game compatible. I assume that Mario game runs on Ion. If it does, you have to download Ion, launch it from the "APPS" folder, and then launch the game from the Ion menu. It won't work if you try to launch it with the "PRGM" button.
You can also use a connected Wiimote to play games on your computer. Do some googling and you'll find software that supports it.
Remove the battery panel on the back of the Wiimote and press the red button at the bottom right. That's a reset button, and it may help.