Which Mac do you have? If you have one of the Intel generation, from Core Duo onwards, then you can install Windows Vista or Windows 7 in Bootcamp - it's a very straightforward process.
I have done that on two of my Macs, and now have access to all the PC chess software out there. Runs perfectly on them. I chose not to use Parallels or similar software, which lets you run both Operating Systems at the same time. That's because the CPU has a bigger load then. So I use the Startup Disk selector in System Preferences, and boot up in Windows when I want to use Fritz 12, Chessbase, ICC Dasher and other software.
You can also use Ignatius to access ICC from the Mac OS.
I have Sigma for the Mac (lite version-free). I am wondering if there is any good training software for the Mac.