If you're trying to install it on an Intel-based machine, forget it.
The retail version of OS X is PowerPC only as of OS X Tiger 10.4, since ALL Intel machines have come with Tiger Install disks.
If your machine did not come with Install Disks, you got shafted - they are part of the package.
You can contact Apple with the serial number of your machine and request replacement install disks.
If you suspect the machine didn't come with disks because it was stolen, I wouldn't bother going via Apple. Just take it straight to the police.