OnCollision is a delegate. You assign and handler function to it, like so
Geom.OnCollision += MyCollisionHandler;
MyCollisionHandler looks like this
bool MyCollisionHandler(Geom geom1, Geom geom2, ContactList contacts)
It will be called once every update for every Geom this geom collides with. There's a lot of information you can use in the contact list, but for detecting when a bullet hits the player, all you need are the geoms.