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Now I want to run a program that is on my computer (MrBayes) on this supercomputer. Does the program need to be installed at their end (on the cluster)?
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Yes it does.
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Alternatively, can I call up the program on my computer, but run it via their processors.
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No, and even if that were possible, the network latencies would be so great that it would not work correctly. It would just take too long to transfer data back and forth from your box running the program to the supercomputer crunching the numbers.
Just to expand a bit, ssh is used to securely login to a computer at a remote location and run commands on that computer as if you were there. As such, any command or program you want to run on that remote computer must be installed and available on the remote computer. When you ssh into a remote computer you are running your commands on that remote box and just sending the command from your local box.
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It says I am at /share/home? What does this mean.
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That is the location that you are at on the remote computer when you login there via ssh.