How did General Zaroff first come to the island in "The Most Dangerous Game?"

General Zaroff bought the island after he got bored with hunting ordinary game. 

Zaroff was an aristocrat that got forced out of Russia with the revolution.  His family had been very rich, and he managed to hold onto his money despite the economic turmoil that followed.  

"After the debacle in Russia I left the country, for it was imprudent for an officer of the Czar to stay there. Many noble Russians lost everything. I, luckily, had invested heavily in American securities, so I shall never have to open a tearoom in Monte Carlo or drive a taxi in Paris.  …” 

Zaroff continued to travel the world hunting more and more exotic game, but it was boring for him.  He had been a hunter since he was a child, and it was the only thing he found exciting in life.  When Rainsford asks Zaroff what new animal he found to hunt, Zaroff explains the purpose of the island.

"I never joke about hunting. I needed a new animal. I found one. So I bought this island built this house, and here I do my hunting. The island is perfect for my purposes--there are jungles with a maze of traits in them, hills, swamps--"

The island had a reputation as dangerous among sailors.  It was called Ship-Trap Island.  Zaroff seeded the island with prey by placing lights to indicate a channel where there was none.  Ships would get grounded there and he would take the sailors prisoner.  These he forced to play his game.

Rainsford is horrified that Zaroff is actually hunting people on his island.  He knows that he is trapped on the island and has no way off.  He calls Zaroff’s activities murder, but Zaroff thinks he is being Puritanical.  In Zaroff’s world-view, only the strong deserve to survive.   He is strong, so he wins.