Hi Aaron,
Welcome to the club! Check Point software can be deployed in many ways depending on your requirements. With this initial release of R80, it can only be installed and used for what we call the security management server(or multi-domain mgmt server...another topic for another day).
In your particular case, is the 4600 the only device you own? If so, you would have to install R80 onto a VM(VMware or Hyper-V...KVM also works but not officially supported yet) or supported open server. You would then establish communications with the 4600 and manage it via the management server.
Hope this helps a bit. I can send more detailed info privately if you wish. And feel free to ask additional questions here as well.
BR,
Jeff